金融工程定期：2月转债配置：转债估值偏贵，看好平衡低估风格

Quantitative Models and Construction Methods 1. Model Name: "百元转股溢价率" (Premium per 100 Yuan Conversion Value) - Model Construction Idea: This model compares the valuation of convertible bonds and their underlying stocks by constructing a time-series comparable valuation metric, "百元转股溢价率" (Premium per 100 Yuan Conversion Value) [3][15] - Model Construction Process: 1. Fit the relationship curve between the conversion premium and conversion value in the cross-sectional space at each time point 2. Substitute a conversion value of 100 into the fitted formula to obtain the "百元转股溢价率" 3. Formula: $y_{i} = \alpha_{0} + \alpha_{1} \cdot \frac{1}{x_{i}} + \epsilon_{i}$ - $y_{i}$: Conversion premium of the $i$-th bond - $x_{i}$: Conversion value of the $i$-th bond - $\alpha_{0}, \alpha_{1}$: Fitted coefficients - $\epsilon_{i}$: Error term [42][43] - Model Evaluation: Provides a relative valuation metric for comparing convertible bonds and their underlying stocks [15] 2. Model Name: "修正 YTM – 信用债 YTM" (Adjusted YTM – Credit Bond YTM) - Model Construction Idea: This model isolates the impact of conversion terms on the yield-to-maturity (YTM) of convertible bonds to compare the relative valuation of debt-heavy convertible bonds and credit bonds [4][15] - Model Construction Process: 1. Adjust the YTM of debt-heavy convertible bonds by considering the probability of conversion 2. Formula: $\text{Adjusted YTM} = \text{Convertible Bond YTM} \times (1 - \text{Conversion Probability}) + \text{Expected Annualized Return from Conversion} \times \text{Conversion Probability}$ 3. Use the Black-Scholes (BS) model to calculate the conversion probability $N(d2)$ based on stock price, strike price, stock volatility, remaining term, and discount rate 4. Calculate the difference between the adjusted YTM and the YTM of credit bonds of the same rating and maturity 5. Median formula: $\text{"修正 YTM – 信用债 YTM" Median} = \text{median}\{X_1, X_2, ..., X_n\}$ - $X_i$: Difference between the adjusted YTM of the $i$-th convertible bond and the YTM of a credit bond [44] - Model Evaluation: Highlights the relative valuation of debt-heavy convertible bonds compared to credit bonds [15] --- Model Backtesting Results 1. "百元转股溢价率" - Rolling 3-year percentile: 99.30% - Rolling 5-year percentile: 99.60% [3][15][16] 2. "修正 YTM – 信用债 YTM" - Median value: -5.69% [4][15][16] --- Quantitative Factors and Construction Methods 1. Factor Name: 转股溢价率偏离度 (Conversion Premium Deviation) - Factor Construction Idea: Measures the deviation of the conversion premium from its fitted value, enabling comparability across different parities [19] - Factor Construction Process: 1. Formula: $\text{Conversion Premium Deviation} = \text{Conversion Premium} - \text{Fitted Conversion Premium}$ 2. The quality of the fit depends on the number of convertible bonds [19] - Factor Evaluation: Effective in identifying valuation deviations across convertible bonds [19] 2. Factor Name: 理论价值偏离度 (Theoretical Value Deviation) - Factor Construction Idea: Measures the price expectation gap using Monte Carlo simulation, which accounts for various convertible bond terms [19] - Factor Construction Process: 1. Formula: $\text{Theoretical Value Deviation} = \frac{\text{Convertible Bond Closing Price}}{\text{Theoretical Value}} - 1$ 2. Monte Carlo simulation: Simulate 10,000 paths at each time point, considering terms like conversion, redemption, downward revision, and resale 3. Use the discount rate of bonds with the same credit rating and maturity to calculate the theoretical value [19] - Factor Evaluation: Provides a comprehensive valuation metric by incorporating multiple bond terms [19] 3. Composite Factor Name: 转债综合估值因子 (Convertible Bond Comprehensive Valuation Factor) - Factor Construction Idea: Combines the rankings of the two factors above to enhance valuation analysis [19] - Factor Construction Process: 1. Formula: $\text{Convertible Bond Comprehensive Valuation Factor} = \text{Rank}(\text{Conversion Premium Deviation}) + \text{Rank}(\text{Theoretical Value Deviation})$ 2. Select the top 1/3 of convertible bonds based on this factor to construct low-valuation indices for different styles (equity-heavy, balanced, debt-heavy) [19][20] - Factor Evaluation: Demonstrates strong performance across different convertible bond styles [18][19] --- Factor Backtesting Results 1. Low-Valuation Factors (Equity-Heavy, Balanced, Debt-Heavy) - 1-Month Excess Returns: - Equity-Heavy: 0.84% - Balanced: -0.08% - Debt-Heavy: -0.83% [5][21] - Annualized Metrics (2018-02-14 to 2026-01-09): | Style | Annualized Return | Annualized Volatility | Max Drawdown | IR | Calmar Ratio | | --- | --- | --- | --- | --- | --- | | Equity-Heavy | 27.22% | 20.75% | 0.23 | 1.31 | 1.19 | | Balanced | 16.09% | 12.03% | 0.16 | 1.34 | 1.01 | | Debt-Heavy | 12.60% | 9.79% | 0.18 | 1.29 | 0.71 | [22] 2. Convertible Bond Style Rotation - 4-Week Return: 0.24% - YTD Return (2026): 10.05% - Annualized Metrics (2018-02-14 to 2026-02-13): | Metric | Annualized Return | Annualized Volatility | Max Drawdown | IR | Calmar Ratio | | --- | --- | --- | --- | --- | --- | | Style Rotation | 25.91% | 16.99% | 15.89% | 1.52 | 1.63 | | Low-Valuation Equal-Weight Index | 15.76% | 11.33% | 15.48% | 1.39 | 1.02 | | Equal-Weight Index | 11.26% | 12.05% | 20.60% | 0.93 | 0.55 | [26][30]