一月可转债量化月报：转债市场估值位于历史极值水平

• The report introduces a valuation deviation model for convertible bonds, defined as "Pricing Deviation = Convertible Bond Price / CCBA Model Pricing - 1", which measures the valuation level of the convertible bond market. As of January 16, 2026, the pricing deviation indicator reached 12.83%, placing it at the 99.9th percentile since 2018 and 2021, indicating historically high valuation levels[6][10][15] - A rotation strategy between convertible bonds and a stock-bond portfolio is constructed based on the pricing deviation model. The Z-score is calculated as "Z = Pricing Deviation / 3-Year Standard Deviation", truncated at ±1.5 standard deviations, and then divided by -1.5 to derive a score. Convertible bond weight is determined as "50% + 50% × Score", with the remaining allocation to the stock-bond portfolio. This strategy achieves stable excess returns during periods of undervaluation in the convertible bond market[10][13][14] - A low-valuation strategy is developed using the CCB_out pricing model, which incorporates delisting risk. The pricing deviation is calculated as "Pricing Deviation = Convertible Bond Price / CCB_out Model Pricing - 1". The strategy selects the 15 convertible bonds with the lowest deviation in each of the biased-debt, balanced, and biased-equity categories, forming a pool of 45 bonds. The strategy achieves an annualized return of 20.8% and an excess return of 8.9% since 2018[21][23][24] - A low-valuation + strong momentum strategy combines the pricing deviation factor with a stock momentum factor, using equal-weighted scores of stock momentum over the past 1, 3, and 6 months. This strategy achieves an annualized return of 24.7% and an excess return of 12.4% since 2018[24][26][27] - A low-valuation + high-turnover strategy selects the lowest 50% of convertible bonds based on pricing deviation and further filters for high turnover using turnover rate factors (5-day and 21-day turnover rates for both convertible bonds and stocks). This strategy achieves an annualized return of 23.7% and an excess return of 11.5% since 2018[27][28][30] - A balanced biased-debt enhanced strategy selects the lowest 50% of convertible bonds based on pricing deviation, excluding biased-equity bonds. It applies turnover rate and stock momentum factors for biased-debt bonds and turnover rate factors for balanced bonds. This strategy achieves an annualized return of 22.6% since 2018, with a return of 16.7% in 2023[30][32][33] - A credit bond substitution strategy screens convertible bonds where "Convertible Bond YTM + 1% > 3-Year AA Credit Bond YTM". The strategy selects the top 20 convertible bonds with the strongest 1-month stock momentum, limits individual bond weights to 2%, and allocates the remaining portfolio to credit bonds. This strategy achieves an annualized return of 7.1% since 2018, with volatility and drawdowns below 3%[33][34][35] - A volatility control strategy selects the top 15 convertible bonds with the highest scores in low-valuation + strong momentum across biased-debt, balanced, and biased-equity categories, forming three enhanced strategies. It combines these with credit bonds and controls portfolio volatility at 4%. This strategy achieves an annualized return of 9.6% since 2018, with volatility and drawdowns around 4%-5%[35][36][38]