十一月可转债量化月报：转债估值维持高位震荡-20251117

Quantitative Models and Construction Methods - Model Name: CCBA Pricing Model Construction Idea: The model adjusts convertible bond pricing based on redemption probability and market deviation metrics [6][21] Construction Process: - Define pricing deviation: $ \text{Pricing Deviation} = \frac{\text{Convertible Bond Price}}{\text{CCBA Model Pricing}} - 1 $ - Adjust for redemption probability to form the CCB_out model - Select convertible bonds with the lowest deviation across three domains: debt-heavy, balanced, and equity-heavy, forming a pool of 45 convertible bonds [6][21] Evaluation: The model demonstrates strong stability and consistent returns, even during volatile market conditions [21] - Model Name: Convertible Bond & Equity Rotation Strategy Construction Idea: Utilize market pricing deviation to dynamically allocate between convertible bonds and a stock-bond portfolio [11][15] Construction Process: - Calculate Z-score: $ Z = \frac{\text{Pricing Deviation}}{\text{3-Year Standard Deviation}} $ - Apply truncation at ±1.5 standard deviations and normalize: $ \text{Score} = \frac{Z}{-1.5} $ - Determine convertible bond weight: $ \text{Convertible Bond Weight} = 50% + 50% \times \text{Score} $ - Allocate remaining weight to a stock-bond portfolio (50% 7-10Y Treasury + 50% CSI 1000 Total Return Index) [11][15] Evaluation: The strategy achieves stable excess returns by overweighting undervalued convertible bonds and underweighting overvalued ones [11][15] Model Backtesting Results - CCBA Pricing Model: - Absolute return: 21.3% - Excess return: 10.1% - IR: 1.71 [24] - Convertible Bond & Equity Rotation Strategy: - Absolute return: Stable excess returns observed during low valuation periods - Current convertible bond premium: 7.80% [11][15] Quantitative Factors and Construction Methods - Factor Name: Convertible Bond Pricing Deviation (CCB_out) Construction Idea: Measure deviation between market price and model price, adjusted for redemption probability [21][24] Construction Process: - Define deviation: $ \text{Pricing Deviation} = \frac{\text{Convertible Bond Price}}{\text{CCB_out Model Pricing}} - 1 $ - Adjust for redemption probability to refine the factor [21][24] Evaluation: The factor effectively identifies undervalued convertible bonds, supporting stable returns [21][24] - Factor Name: Stock Momentum Construction Idea: Combine convertible bond pricing deviation with stock momentum to enhance strategy elasticity [27][28] Construction Process: - Calculate stock momentum scores based on past 1, 3, and 6 months' performance - Combine momentum scores with pricing deviation to form a composite factor [27][28] Evaluation: The factor increases strategy elasticity, achieving higher absolute and excess returns [27][28] - Factor Name: High Turnover Construction Idea: Select convertible bonds with high trading activity within a low-valuation pool [30][31] Construction Process: - Define turnover metrics: - Convertible bond turnover rate (5-day and 21-day) - Convertible bond-to-stock turnover ratio (5-day and 21-day) - Combine turnover metrics with pricing deviation to refine selection [30][31] Evaluation: The factor enhances strategy responsiveness, achieving consistent excess returns [30][31] Factor Backtesting Results - Convertible Bond Pricing Deviation (CCB_out): - IR: 1.71 - Absolute return: 21.3% [24] - Stock Momentum: - IR: 2.31 - Absolute return: 25.0% [28] - High Turnover: - IR: 1.96 - Absolute return: 23.6% [31] Strategy Construction and Results - Strategy Name: Low Valuation Strategy Construction Idea: Select undervalued convertible bonds across three domains (debt-heavy, balanced, equity-heavy) [21][24] Construction Process: - Use CCB_out pricing deviation to identify undervalued convertible bonds - Form a pool of 45 convertible bonds with AA- rating or higher and balance above 3 billion [21][24] Evaluation: Stable returns with strong excess performance [21][24] - Strategy Name: Low Valuation + Strong Momentum Strategy Construction Idea: Combine pricing deviation with stock momentum for higher elasticity [27][28] Construction Process: - Integrate stock momentum scores (1, 3, 6 months) with pricing deviation - Select convertible bonds with the highest composite scores [27][28] Evaluation: Enhanced elasticity and higher returns [27][28] - Strategy Name: Low Valuation + High Turnover Strategy Construction Idea: Combine pricing deviation with turnover metrics for responsive selection [30][31] Construction Process: - Select convertible bonds with high turnover rates within a low-valuation pool - Combine turnover metrics with pricing deviation for refined selection [30][31] Evaluation: Consistent excess returns with improved responsiveness [30][31] - Strategy Name: Balanced Debt-Heavy Enhanced Strategy Construction Idea: Focus on undervalued convertible bonds while enhancing debt-heavy and balanced domains [33][34] Construction Process: - Use pricing deviation to select undervalued convertible bonds - Apply turnover and momentum factors for enhancement in debt-heavy and balanced domains [33][34] Evaluation: High absolute returns with controlled volatility and drawdowns [33][34] - Strategy Name: Credit Bond Substitution Strategy Construction Idea: Replace credit bonds with convertible bonds offering higher yields [35][36] Construction Process: - Select convertible bonds with $ \text{YTM} + 1% > \text{3-Year AA Credit Bond YTM} $ - Apply stock momentum and volatility control for portfolio optimization [35][36] Evaluation: Stable returns with low volatility and drawdowns [35][36] - Strategy Name: Volatility Control Strategy Construction Idea: Control portfolio volatility by combining enhanced strategies and credit bonds [37][39] Construction Process: - Select convertible bonds with high scores in low valuation + strong momentum - Combine enhanced strategies with credit bonds to control portfolio volatility at 4% [37][39] Evaluation: Stable returns with controlled volatility and drawdowns [37][39] Strategy Backtesting Results - Low Valuation Strategy: - IR: 1.71 - Absolute return: 21.3% [24] - Low Valuation + Strong Momentum Strategy: - IR: 2.31 - Absolute return: 25.0% [28] - Low Valuation + High Turnover Strategy: - IR: 1.96 - Absolute return: 23.6% [31] - Balanced Debt-Heavy Enhanced Strategy: - Absolute return: 22.4% - Volatility: 12.2% - Drawdown: 13.9% [34] - Credit Bond Substitution Strategy: - Absolute return: 7.2% - Volatility: 2.1% - Drawdown: 2.8% [36] - Volatility Control Strategy: - Absolute return: 9.7% - Volatility: 4.4% - Drawdown: 4.4% [39]