十月可转债量化月报：偏股转债高位回撤-20251020

Quantitative Models and Construction Methods - Model Name: Convertible Bond Pricing Deviation Model Construction Idea: The model measures the valuation level of convertible bonds based on pricing deviation, defined as the difference between the market price and the theoretical price derived from the CCBA model[6][11] Construction Process: - Formula: $ Pricing\ Deviation = \frac{Convertible\ Bond\ Price}{CCBA\ Model\ Price} - 1 $ - Parameters: Convertible bond price represents the market price, and CCBA model price represents the theoretical price adjusted for redemption probability[6][11] Evaluation: The model effectively identifies high valuation levels in the convertible bond market, providing insights for timing and allocation strategies[6][11] - Model Name: Convertible Bond & Equity-Bond Rotation Strategy Construction Idea: The strategy allocates between convertible bonds and a 50% equity-50% bond portfolio based on valuation levels, aiming to achieve stable excess returns[9][11] Construction Process: - Formula: $ Z\ Value = \frac{Pricing\ Deviation}{3\ Year\ Standard\ Deviation} $ - Adjustments: Apply ±1.5 standard deviation truncation, divide by -1.5 to calculate the score, and determine convertible bond weight as $ Convertible\ Bond\ Weight = 50% + 50% \times Score $ - Remaining allocation is invested in the equity-bond portfolio[11] Evaluation: The strategy demonstrates stable excess returns during periods of undervaluation, while reducing exposure during overvaluation[11][15] Model Backtesting Results - Convertible Bond Pricing Deviation Model: Current pricing deviation is 4.92%, ranking at the 98.6% percentile since 2018[6][11] - Convertible Bond & Equity-Bond Rotation Strategy: - Annualized return: 9.7% - Excess return: 11.5% - Information ratio (IR): 2.00[11][15] Quantitative Factors and Construction Methods - Factor Name: CCB_out Pricing Deviation Construction Idea: Adjust the CCBA pricing model by incorporating delisting risk to refine valuation deviation[22] Construction Process: - Formula: $ Pricing\ Deviation = \frac{Convertible\ Bond\ Price}{CCB_out\ Model\ Price} - 1 $ - Parameters: CCB_out model price includes adjustments for delisting risk[22] Evaluation: The factor enhances the accuracy of valuation deviation, supporting low-valuation strategies[22] - Factor Name: Stock Momentum Construction Idea: Combine stock momentum scores over 1, 3, and 6 months to identify high-momentum convertible bonds[25][28] Construction Process: - Formula: $ Momentum\ Score = Equal\ Weighted\ Average\ of\ 1, 3, 6\ Month\ Returns $ - Parameters: Historical stock returns over specified periods[25][28] Evaluation: The factor improves strategy elasticity and enhances returns during strong market trends[25][28] - Factor Name: Convertible Bond Turnover Construction Idea: Select convertible bonds with high trading activity to capture liquidity premiums[31][32] Construction Process: - Metrics: 5-day and 21-day turnover rates for convertible bonds and their underlying stocks - Formula: $ Turnover\ Ratio = \frac{Convertible\ Bond\ Turnover}{Stock\ Turnover} $ - Parameters: Turnover rates over specified periods[31][32] Evaluation: The factor effectively identifies active bonds, contributing to higher returns and lower risk[31][32] Factor Backtesting Results - CCB_out Pricing Deviation: - Annualized return: 22.3% - Excess return: 11.5% - IR: 2.00[22][25] - Stock Momentum: - Annualized return: 24.5% - Excess return: 13.5% - IR: 2.23[25][28] - Convertible Bond Turnover: - Annualized return: 25.0% - Excess return: 13.6% - IR: 2.16[31][32] Composite Strategies and Construction Methods - Strategy Name: Low Valuation Strategy Construction Idea: Select convertible bonds with the lowest valuation deviation across three market segments (low debt, balanced, high equity)[22] Construction Process: - Select the 15 lowest valuation deviation bonds in each segment - Apply filters: balance above 3 billion and rating of AA- or higher[22] Evaluation: The strategy achieves strong stability and consistent excess returns, even during challenging market conditions[22] - Strategy Name: Low Valuation + Strong Momentum Strategy Construction Idea: Combine valuation deviation and stock momentum factors to enhance elasticity[25] Construction Process: - Select bonds with low valuation deviation and high stock momentum scores - Apply filters: balance above 3 billion and rating of AA- or higher[25] Evaluation: The strategy demonstrates high elasticity and strong performance during bullish market conditions[25] - Strategy Name: Low Valuation + High Turnover Strategy Construction Idea: Combine valuation deviation and turnover factors to capture liquidity premiums[31] Construction Process: - Select bonds with low valuation deviation and high turnover rates - Apply filters: balance above 3 billion and rating of AA- or higher[31] Evaluation: The strategy achieves high returns and stable performance, particularly in active markets[31] - Strategy Name: Balanced Debt-Enhanced Strategy Construction Idea: Focus on low-valuation convertible bonds while enhancing debt and balanced segments with turnover and momentum factors[36] Construction Process: - Select the lowest 50% valuation bonds - Apply turnover and momentum factors in debt and balanced segments[36] Evaluation: The strategy achieves high absolute returns with controlled volatility and drawdowns[36] - Strategy Name: Credit Bond Substitution Strategy Construction Idea: Replace convertible bonds with credit bonds when yield-to-maturity (YTM) exceeds AA-rated credit bonds by 1%[40] Construction Process: - Select convertible bonds with YTM+1% > 3-year AA-rated credit bond YTM - Apply stock momentum factor to select the top 20 bonds[40] Evaluation: The strategy achieves stable returns with low volatility and drawdowns[40] - Strategy Name: Volatility Control Strategy Construction Idea: Combine enhanced debt, balanced, and equity strategies with credit bonds to control portfolio volatility[44] Construction Process: - Select top 15 bonds in each segment based on valuation deviation and momentum scores - Allocate remaining portfolio to credit bonds - Control portfolio volatility at 4%[44] Evaluation: The strategy achieves stable returns with controlled risk metrics[44] Strategy Backtesting Results - Low Valuation Strategy: - Annualized return: 22.3% - Excess return: 11.5% - IR: 2.00[22][25] - Low Valuation + Strong Momentum Strategy: - Annualized return: 24.5% - Excess return: 13.5% - IR: 2.23[25][28] - Low Valuation + High Turnover Strategy: - Annualized return: 25.0% - Excess return: 13.6% - IR: 2.16[31][32] - Balanced Debt-Enhanced Strategy: - Annualized return: 23.6% - Volatility: 12.2% - Maximum drawdown: 13.4%[36][39] - Credit Bond Substitution Strategy: - Annualized return: 7.3% - Volatility: 2.1% - Maximum drawdown: 2.8%[40][43] - Volatility Control Strategy: - Annualized return: 9.9% - Volatility: 4.4% - Maximum drawdown: 4.2%[44][45]