十二月可转债量化月报：转债估值持续位于历史高位-20251222

• The report introduces the CCBA pricing deviation model to evaluate the valuation level of convertible bonds. The pricing deviation is calculated as: $ Pricing\ Deviation = \frac{Convertible\ Bond\ Price}{CCBA\ Model\ Price} - 1 $ This model highlights that the current pricing deviation of the convertible bond market is 8.12%, which is at the 99.6% and 99.3% percentiles compared to 2018 and 2021 levels, respectively. The model suggests that the market is in a "high valuation, low odds" state, reducing the long-term allocation value of convertible bonds[6][11][23] - The Convertible Bond & Stock-Bond Rotation Strategy is constructed based on the CCBA pricing deviation. The Z-score is calculated as: $ Z = \frac{Pricing\ Deviation}{Standard\ Deviation\ of\ Past\ 3\ Years} $ The Z-score is truncated at ±1.5 standard deviations and normalized to a score. Convertible bond weight is determined as: $ Convertible\ Bond\ Weight = 50% + 50% \times Score $ The remaining allocation is assigned to a stock-bond portfolio (50% 7-10Y Treasury + 50% CSI 1000 Total Return Index). This strategy achieves stable excess returns by overweighting convertible bonds during undervaluation and vice versa[11][17][23] - The Low Valuation Strategy uses the CCBA_out model, which incorporates delisting risk into the CCBA pricing model. The pricing deviation is calculated as: $ Pricing\ Deviation = \frac{Convertible\ Bond\ Price}{CCBA_out\ Model\ Price} - 1 $ The strategy selects the 15 convertible bonds with the lowest deviation in each of the three domains (biased debt, balanced, biased equity), forming a pool of 45 bonds. Bonds must have a balance of over 3 billion and a rating of AA- or above. The strategy achieves an absolute return of 20.5% and an excess return of 9.7% since 2018[23][25][26] - The Low Valuation + Strong Momentum Strategy combines the CCBA_out pricing deviation factor with the stock momentum factor. The stock momentum factor is constructed using equal-weighted scores of stock returns over the past 1, 3, and 6 months. This strategy achieves an absolute return of 24.3% and an excess return of 13.1% since 2018, with strong elasticity[26][28][29] - The Low Valuation + High Turnover Strategy selects the lowest 50% valuation convertible bonds based on the CCBA_out pricing deviation. Within this pool, convertible bonds with high turnover rates are chosen using turnover factors (5-day and 21-day turnover rates). This strategy achieves an absolute return of 23.2% and an excess return of 12.1% since 2018[29][31][32] - The Balanced Biased Debt Enhanced Strategy selects the lowest 50% valuation convertible bonds based on the CCBA_out pricing deviation. Biased debt bonds are further filtered using turnover rate and stock momentum factors, while balanced bonds are filtered using turnover rate factors. This strategy achieves an annualized absolute return of 22.3%, with volatility and drawdown controlled at 7.6% and 4.5%, respectively[32][34][35] - The Credit Bond Substitution Strategy filters convertible bonds with YTM+1% greater than the YTM of 3-year AA-rated credit bonds. Convertible bonds must have a balance of over 3 billion and a rating of AA- or above. Within this pool, the top 20 bonds with the strongest 1-month stock momentum are selected, with individual bond weights capped at 2%. Remaining allocation is assigned to credit bonds. This strategy achieves an absolute return of 7.1%, with volatility and drawdown below 3%[35][36][37] - The Volatility Control Strategy combines enhanced strategies for biased debt, balanced, and biased equity convertible bonds, along with credit bonds. The portfolio volatility is controlled at 4% using a volatility control method. This strategy achieves an absolute return of 9.4%, with volatility and drawdown controlled at 4%-5%[37][39][41] - Performance Metrics for the strategies: - Low Valuation Strategy: Annualized return of 20.5%, excess return of 9.7%, IR of 1.64[26] - Low Valuation + Strong Momentum Strategy: Annualized return of 24.3%, excess return of 13.1%, IR of 2.25[29] - Low Valuation + High Turnover Strategy: Annualized return of 23.2%, excess return of 12.1%, IR of 1.95[32] - Balanced Biased Debt Enhanced Strategy: Annualized return of 22.3%, volatility of 12.1%, drawdown of 13.9%[35] - Credit Bond Substitution Strategy: Annualized return of 7.1%, volatility of 2.1%, drawdown of 2.8%[37] - Volatility Control Strategy: Annualized return of 9.4%, volatility of 4.4%, drawdown of 4.4%[41]