金融工程定期：10月转债配置：转债估值偏贵，看好偏股低估风格

Quantitative Models and Construction Methods - Model Name: "百元转股溢价率" (Hundred Yuan Conversion Premium Rate) Model Construction Idea: This model compares convertible bond valuation with stock valuation by constructing a time-series comparable valuation indicator[4][13] Model Construction Process: At each time point, the relationship curve between conversion premium rate and conversion value is fitted in the cross-sectional space. The conversion value of 100 is substituted into the fitting formula to obtain the "百元转股溢价率". The specific fitting formula is: $y_{i}=\alpha_{0}+\,\alpha_{1}\cdot\,{\frac{1}{x_{i}}}+\epsilon_{i}$ In the formula, $y_{i}$ represents the conversion premium rate of the $i$-th bond, $x_{i}$ represents the conversion value of the $i$-th bond[42] Model Evaluation: The model provides a relative valuation perspective for convertible bonds and stocks[4][13] - Model Name: "修正 YTM – 信用债 YTM"中位数 (Adjusted YTM - Credit Bond YTM Median) Model Construction Idea: This model isolates the impact of conversion clauses on convertible bond YTM to compare the relative valuation of debt-oriented convertible bonds and credit bonds[5][13] Model Construction Process: $修正 YTM = 转债 YTM ×（1–转股概率）+ 预期转股的到期年化收益率×转股概率$ Using the BS model, the conversion probability $N(d2)$ is calculated by substituting stock closing price, option exercise price, stock volatility, remaining term, and discount rate. Then, the adjusted YTM for each debt-oriented convertible bond is calculated. The median of the difference between adjusted YTM and credit bond YTM is expressed as: $"修正 YTM – 信用债 YTM"中位数 = median{X1, X2, ... , Xn}$ Where $X_{i}$ represents the difference between the adjusted YTM of the $i$-th convertible bond and the YTM of a credit bond with the same rating and term[43] Model Evaluation: The model effectively evaluates the relative cost-effectiveness of debt-oriented convertible bonds compared to credit bonds[5][13] Model Backtesting Results - "百元转股溢价率" Model: Rolling three-year percentile is 98.70%, rolling five-year percentile is 94.90%[4][14] - "修正 YTM – 信用债 YTM" Model: Current median value is -2.96%, indicating low cost-effectiveness for debt-oriented convertible bonds[5][14] Quantitative Factors and Construction Methods - Factor Name: 转股溢价率偏离度 (Conversion Premium Rate Deviation) Factor Construction Idea: Measures the deviation of the conversion premium rate relative to the fitted value, making different parities comparable[19] Factor Construction Process: $转股溢价率偏离度 = 转股溢价率 − 拟合转股溢价率$ The number of convertible bonds determines the fitting quality[19] Factor Evaluation: Provides a systematic enhancement perspective for convertible bond valuation[18][19] - Factor Name: 理论价值偏离度 (Theoretical Value Deviation - Monte Carlo Model) Factor Construction Idea: Measures the price expectation difference using Monte Carlo simulation, fully considering convertible bond clauses such as conversion, redemption, downward revision, and repurchase[19] Factor Construction Process: $理论价值偏离度 = 转债收盘价 / 理论价值 - 1$ At each time point, 10,000 paths are simulated using the same credit term limit rate as the discount rate to calculate the theoretical value of the convertible bond[19] Factor Evaluation: Performs well in evaluating convertible bonds, especially equity-oriented ones[18][19] - Factor Name: 转债综合估值因子 (Convertible Bond Comprehensive Valuation Factor) Factor Construction Idea: Combines the above two factors to enhance valuation across all domains and subdomains (equity-oriented, balanced, debt-oriented)[18][19] Factor Construction Process: $转债综合估值因子 = Rank（转股溢价率偏离度）+ Rank（理论价值偏离度（蒙特卡洛模拟））$ Factor Evaluation: Demonstrates superior performance in valuation enhancement across all domains[18][19] Factor Backtesting Results - Conversion Premium Rate Deviation Factor: Near-term enhancement excess returns for equity-oriented, balanced, and debt-oriented convertible bonds are -3.01%, -0.34%, and -0.02%, respectively[6][21] - Theoretical Value Deviation Factor: Performs best in equity-oriented convertible bonds[18][19] - Convertible Bond Comprehensive Valuation Factor: - Equity-oriented low valuation index: IR = 1.24, annualized return = 25.45%, annualized volatility = 20.54%, maximum drawdown = -22.94%, Calmar ratio = 1.11, monthly win rate = 61.96%[22] - Balanced low valuation index: IR = 1.26, annualized return = 14.90%, annualized volatility = 11.85%, maximum drawdown = -15.95%, Calmar ratio = 0.93, monthly win rate = 63.04%[22] - Debt-oriented low valuation index: IR = 1.40, annualized return = 13.28%, annualized volatility = 9.48%, maximum drawdown = -17.78%, Calmar ratio = 0.75, monthly win rate = 58.70%[22] Convertible Bond Style Rotation and Construction Methods - Rotation Method: Idea: Uses market sentiment indicators (convertible bond momentum and volatility deviation) to construct a convertible bond style rotation portfolio[7][26] Process: $转债风格市场情绪捕捉指标 = Rank（转债 20 日动量）+ Rank（波动率偏离度）$ Based on the ranking of sentiment indicators, the style index with the lowest ranking is selected for allocation. If rankings are equal, equal allocation is applied. If all three styles are selected, 100% allocation is made to the balanced low valuation style. Adjustments are made bi-weekly[27][28] Evaluation: Demonstrates stable excess returns compared to the convertible bond equal-weight index[30][33] Style Rotation Backtesting Results - Convertible Bond Style Rotation: - IR = 1.45, annualized return = 24.14%, annualized volatility = 16.70%, maximum drawdown = -15.89%, Calmar ratio = 1.52, monthly win rate = 64.13%[32] - Convertible Bond Low Valuation Equal-Weight Index: IR = 1.33, annualized return = 14.68%, annualized volatility = 11.01%, maximum drawdown = -15.48%, Calmar ratio = 0.95, monthly win rate = 61.96%[32] - Convertible Bond Equal-Weight Index: IR = 0.85, annualized return = 9.95%, annualized volatility = 11.75%, maximum drawdown = -20.60%, Calmar ratio = 0.48, monthly win rate = 60.87%[32] - Recent 4-week style rotation return: 2.26%; return since 2025: 37.81%[28][29]