【广发金工】可转债指数择时的三个视角

Core Viewpoint - The report focuses on quantitative timing and position management strategies for convertible bond indices, specifically the CSI Convertible Bond Index, analyzing three main strategies: price-volume timing, valuation timing, and convexity timing [10]. Group 1: Price-Volume Timing Strategy - Technical indicators are derived from historical market data, including price and volume, resulting in 104 indicators used for timing strategies. The annualized return since 2019 is 9.4% [1][22]. - The strategy captures market trends and momentum, but faces challenges due to the dynamic switching of stock and bond attributes in convertible bonds [13][14]. - The average signal change period is approximately 6 trading days, indicating a higher trading frequency [25]. Group 2: Valuation Timing Strategy - The valuation timing strategy uses pricing deviation factors to assess the overall market valuation level of convertible bonds, with an annualized return of 8.0% since 2019 [2][35]. - Traditional valuation indicators struggle to fully capture market conditions, leading to the development of a pricing model that accounts for various risks [26][28]. - The average signal change period for this strategy is about 21 trading days, resulting in fewer trades compared to price-volume timing [38]. Group 3: Convexity Timing Strategy - Convexity in convertible bonds is defined as the second derivative of price changes relative to the underlying stock, allowing for potential outperformance in bullish markets and downside protection in bearish markets [39][40]. - The convexity timing strategy has shown a high win rate of 83.33% with an annualized return of 8.03% [47]. - The average signal change period for this strategy is longer than six months, indicating lower trading frequency [49]. Group 4: Position Management Strategy - A position management strategy is constructed using the three timing strategies, allowing for diversified signal sources and reduced risk of individual strategy failure. The annualized return is 8.55%, outperforming a buy-and-hold strategy [4][55]. - The strategy's historical performance shows a cumulative return of 71.70% with a maximum drawdown of -6.86% [55][57]. - The strategy can be adjusted for trading frequency, balancing between transaction costs and signal responsiveness [61].