可转债市场趋势定量跟踪：转债中期看估值仍偏贵，短期向正股要收益

Quantitative Models and Construction Methods 1. Model Name: CRR Pricing Model - Model Construction Idea: The CRR pricing model is used to calculate the theoretical value of convertible bonds by considering embedded options, credit spreads, and other factors, providing a more accurate pricing compared to traditional methods like BSM[14][15] - Model Construction Process: - Sample Screening: Bonds with AA- rating or above, balance of 200 million or more, non-ST stocks, no historical rating downgrades or negative outlooks, major shareholder pledge ratio less than 90%, traded in the last 10 days, redemption progress less than 5 days, and not below the bond floor[42] - Bond Selection: Bonds are categorized into debt-like, balanced, and equity-like based on parity levels. The top 10 bonds with the highest CRR pricing to market price ratio in each category are selected, totaling 30 bonds[42] - Weighting and Rebalancing: Equal weighting and monthly rebalancing[41] - Model Evaluation: The CRR pricing model is more accurate due to its consideration of embedded options and credit spreads, making it superior to traditional methods like BSM[14][15] 2. Model Name: Low Valuation Momentum Combination - Model Construction Idea: This model combines low valuation strategy with price-volume indicators to select bonds with low conversion premium and positive stock momentum[46][47] - Model Construction Process: - Sample Screening: Bonds with AA- rating or above, balance of 200 million or more, non-ST stocks, no historical rating downgrades or negative outlooks, major shareholder pledge ratio less than 90%, traded in the last 10 days, redemption progress less than 5 days, and not below the bond floor[48] - Bond Selection: Bonds are categorized into debt-like, balanced, and equity-like based on parity levels. The top 10 bonds with the highest combined score of valuation and stock momentum in each category are selected, totaling 30 bonds[48] - Weighting and Rebalancing: Equal weighting and monthly rebalancing[48] - Model Evaluation: The low valuation momentum combination effectively captures bonds with low valuation and positive stock momentum, providing a robust selection strategy[46][47] Model Backtesting Results CRR Pricing Model - October Return: 0.13%[41] - Annualized Return Since 2017: 15.71%[41] - Maximum Drawdown: 12.08%[41] - Return to Drawdown Ratio: 1.30[41] - Monthly Win Rate: 63.83%[41] Low Valuation Momentum Combination - October Return: 1.50%[47] - Annualized Return Since 2017: 16.33%[47] - Maximum Drawdown: 11.26%[47] - Return to Drawdown Ratio: 1.45[47] - Monthly Win Rate: 67.02%[47]