量化点评报告：中证转债指数调整后修复——二月可转债量化月报

• The report discusses the valuation of the convertible bond market, indicating that the pricing deviation indicator for the convertible bond market is at 14.56%, which is at the 99.8th percentile level since 2018 and 2021[1][7] - The report introduces a rotation strategy between convertible bonds and a stock-bond portfolio based on the pricing deviation indicator, where the weight of convertible bonds is adjusted according to the Z-score of the pricing deviation[11] - The low valuation strategy is constructed using the CCB_out pricing model, selecting the 15 convertible bonds with the lowest pricing deviation in each of the debt, balanced, and equity-biased categories, forming a pool of 45 convertible bonds[22] - The low valuation + strong momentum strategy combines the pricing deviation factor with the momentum factor of the underlying stock, using the equal-weighted scores of the stock's momentum over the past 1, 3, and 6 months[25] - The low valuation + high turnover strategy selects the 50% of convertible bonds with the lowest valuation and then uses the turnover rate factor to select the most actively traded convertible bonds[29] - The balanced debt-enhanced strategy selects the 50% of convertible bonds with the lowest valuation, removes equity-biased convertible bonds, and uses the turnover rate factor and the momentum factor of the underlying stock for the debt-enhanced pool, and the turnover rate factor for the balanced pool[32] - The credit bond substitution strategy selects convertible bonds with a yield to maturity (YTM) + 1% greater than the YTM of 3-year AA-rated credit bonds, and then selects the 20 convertible bonds with the strongest 1-month momentum of the underlying stock[35] - The volatility control strategy selects the top 15 convertible bonds with the highest scores of low valuation + strong momentum in each of the debt-enhanced, balanced-enhanced, and equity-enhanced categories, and controls the portfolio volatility at 4%[38] - The convertible bond market pricing deviation indicator is 14.56%[1][7] - The rotation strategy between convertible bonds and a stock-bond portfolio shows stable excess returns[11] - The low valuation strategy achieves an annualized return of 20.9% and an excess return of 8.8% since 2018[22] - The low valuation + strong momentum strategy achieves an annualized return of 25.2% and an excess return of 12.7% since 2018[25] - The low valuation + high turnover strategy achieves an annualized return of 23.6% and an excess return of 11.3% since 2018[29] - The balanced debt-enhanced strategy achieves an annualized return of 22.8% since 2018[32] - The credit bond substitution strategy achieves an annualized return of 7.1% since 2018[35] - The volatility control strategy achieves an annualized return of 9.7% since 2018[38]