一月可转债量化月报：转债市场估值位于历史极值水平-20260122

Quantitative Models and Construction Methods 1. Model Name: CCBA Pricing Deviation Model - Model Construction Idea: The model measures the valuation level of convertible bonds by calculating the pricing deviation, which reflects the difference between the market price and the theoretical price derived from the CCBA model[6] - Model Construction Process: The pricing deviation is calculated as: $ \text{Pricing Deviation} = \frac{\text{Convertible Bond Price}}{\text{CCBA Model Price}} - 1 $ This formula evaluates how much the market price deviates from the theoretical price. The CCBA model incorporates factors such as redemption probability adjustments[6][10] - Model Evaluation: The model effectively identifies valuation extremes in the convertible bond market, providing insights into market sentiment and potential risks[6][7] 2. Model Name: Convertible Bond & Stock-Bond Rotation Strategy - Model Construction Idea: This model uses the pricing deviation to determine the relative attractiveness of convertible bonds versus a stock-bond portfolio, enabling rotation between the two asset classes[10] - Model Construction Process: 1. Calculate the Z-score of the pricing deviation: $ Z = \frac{\text{Pricing Deviation}}{\text{3-Year Standard Deviation}} $ 2. Apply a ±1.5 standard deviation cap to the Z-score and normalize it: $ \text{Score} = \frac{Z}{-1.5} $ 3. Determine the convertible bond weight: $ \text{Convertible Bond Weight} = 50% + 50% \times \text{Score} $ 4. Allocate the remaining weight to the stock-bond portfolio (50% 7-10Y Treasury + 50% CSI 1000 Total Return Index)[10] - Model Evaluation: The strategy demonstrates stable excess returns by dynamically adjusting allocations based on valuation levels[10][13] 3. Model Name: Low Valuation Strategy - Model Construction Idea: This strategy selects convertible bonds with the lowest pricing deviation to construct a portfolio, aiming to capture undervalued opportunities[21] - Model Construction Process: 1. Use the CCBA_out model (CCBA model adjusted for delisting risk) to calculate pricing deviation: $ \text{Pricing Deviation} = \frac{\text{Convertible Bond Price}}{\text{CCBA_out Model Price}} - 1 $ 2. Select the 15 convertible bonds with the lowest pricing deviation from each of the three market segments (debt-heavy, balanced, equity-heavy), forming a pool of 45 bonds 3. Ensure bonds meet criteria such as a balance of over 300 million and a rating of AA- or above 4. Overweight undervalued segments and underweight overvalued ones[21] - Model Evaluation: The strategy achieves strong absolute and excess returns with high stability, even during challenging market conditions[21][24] 4. Model Name: Low Valuation + Strong Momentum Strategy - Model Construction Idea: Combines pricing deviation with stock momentum factors to enhance portfolio elasticity and returns[23] - Model Construction Process: 1. Use the pricing deviation factor from the CCBA_out model 2. Incorporate stock momentum factors based on the past 1, 3, and 6 months' momentum scores 3. Construct a portfolio by selecting bonds with strong momentum and low valuation[23] - Model Evaluation: The strategy delivers higher absolute and excess returns, with increased sensitivity to market trends[23][27] 5. Model Name: Low Valuation + High Turnover Strategy - Model Construction Idea: Focuses on convertible bonds with low valuation and high trading activity to capture liquidity-driven opportunities[27] - Model Construction Process: 1. Select the bottom 50% of convertible bonds based on pricing deviation 2. Within this pool, prioritize bonds with high turnover using metrics such as: - Convertible bond turnover rate (5-day and 21-day) - Ratio of convertible bond turnover to stock turnover (5-day and 21-day) 3. Construct the portfolio based on these criteria[27][30] - Model Evaluation: The strategy achieves robust absolute and excess returns, particularly in liquid market conditions[27][30] 6. Model Name: Balanced Debt-Enhanced Strategy - Model Construction Idea: Enhances returns by combining low valuation, turnover, and momentum factors, while excluding equity-heavy bonds[30] - Model Construction Process: 1. Select the bottom 50% of convertible bonds based on pricing deviation 2. Exclude equity-heavy bonds to form a debt-heavy pool 3. Apply turnover and momentum factors to the debt-heavy pool 4. For balanced bonds, use turnover factors only[30][33] - Model Evaluation: The strategy achieves high absolute returns with controlled volatility and drawdowns, making it suitable for risk-averse investors[30][33] 7. Model Name: Credit Bond Substitution Strategy - Model Construction Idea: Replaces convertible bonds with credit bonds when the yield-to-maturity (YTM) of convertible bonds exceeds that of 3-year AA-rated credit bonds by 1%[33] - Model Construction Process: 1. Screen convertible bonds with: $ \text{Convertible Bond YTM} + 1% > \text{3-Year AA Credit Bond YTM} $ 2. Select the top 20 bonds with the highest 1-month stock momentum for allocation 3. Limit individual bond weight to a maximum of 2% 4. Use volatility control methods to reduce short-term drawdowns and allocate remaining weight to credit bonds[33][35] - Model Evaluation: The strategy achieves moderate absolute returns with low volatility and drawdowns, making it suitable for conservative investors[33][35] 8. Model Name: Volatility Control Strategy - Model Construction Idea: Combines low valuation and strong momentum factors with volatility control to maintain portfolio stability[35] - Model Construction Process: 1. Select the top 15 convertible bonds with the highest combined scores of low valuation and strong momentum from each market segment (debt-heavy, balanced, equity-heavy) 2. Combine these enhanced strategies with credit bonds 3. Use volatility control methods to cap portfolio volatility at 4%[35][38] - Model Evaluation: The strategy achieves stable absolute returns with low volatility and drawdowns, making it suitable for risk-averse investors[35][38] --- Model Backtest Results 1. CCBA Pricing Deviation Model - Pricing deviation as of January 16, 2026: 12.83%, at the 99.9th percentile since 2018 and 2021[6][10] 2. Convertible Bond & Stock-Bond Rotation Strategy - Current convertible bond premium: 12.83%[10] 3. Low Valuation Strategy - Annualized return: 20.8% - Excess return: 8.9% - Information ratio (IR): 1.51[24] 4. Low Valuation + Strong Momentum Strategy - Annualized return: 24.7% - Excess return: 12.4% - IR: 2.15[27] 5. Low Valuation + High Turnover Strategy - Annualized return: 23.7% - Excess return: 11.5% - IR: 1.85[30] 6. Balanced Debt-Enhanced Strategy - Annualized return: 22.6% - Volatility: 12.1% - Maximum drawdown: 13.9%[33] 7. Credit Bond Substitution Strategy - Annualized return: 7.1% - Volatility: <3% - Maximum drawdown: <3%[35] 8. Volatility Control Strategy - Annualized return: 9.6% - Volatility: 4.4% - Maximum drawdown: 4.4%[38]