可转债策略丨量化投资的攻守之道

Core Viewpoint - The convertible bond market has shown strong performance in 2023, with the China Convertible Bond Index rising by 17.14% year-to-date and total trading volume reaching 13.46 trillion yuan, a year-on-year increase of 37.75%. This has led to increased interest in quantitative investment strategies that leverage the unique characteristics of convertible bonds, which offer both offensive and defensive capabilities [1]. Group 1: Why Choose Convertible Bonds? - Convertible bonds are considered high-quality beta assets, with the China Convertible Bond Index significantly outperforming major broad-based indices since 2017. For instance, during the market downturn in 2018, the index only fell by 1.16%, while the CSI 300 and CSI 500 indices dropped by 25.31% and 33.32%, respectively. Conversely, in 2019, the index rose by 25.15%, demonstrating its ability to provide both growth and protection [3][4]. Group 2: Characteristics and Pricing Factors of Convertible Bonds - The core value of convertible bonds is tied to the underlying stock price, which directly influences their conversion value. The bonds exhibit a "dual nature" of equity and debt, allowing them to appreciate in value with rising stock prices while providing a "debt floor" during downturns [8][10]. - The interest rate environment plays a crucial role in shaping the "debt floor" of convertible bonds. A decrease in market interest rates enhances the attractiveness of convertible bonds as fixed-income assets, thereby supporting their price [10]. - Unique terms such as price adjustment clauses can create opportunities for value enhancement. When the stock price falls below a certain threshold, companies can lower the conversion price, increasing the number of shares each bond can convert into, thus boosting its market value [10][11]. - Supply and demand dynamics significantly impact the valuation of convertible bonds. The issuance pace and scale of convertible bonds are influenced by new stock offerings and refinancing policies, while institutional demand from public funds and insurance companies also plays a critical role [11]. Group 3: Common Quantitative Strategies for Convertible Bonds - Quantitative strategies for investing in convertible bonds involve using computer models to systematically identify and execute investment opportunities, minimizing emotional decision-making. Common strategies include: - Dual Low Strategy: Focuses on bonds with low prices and low conversion premiums to balance safety and upside potential [12]. - Low Premium Strategy: Targets bonds with very low or negative conversion premiums, capitalizing on strong stock performance [12]. - High YTM Strategy: Treats convertible bonds as fixed-income securities to secure stable interest income, particularly in bearish or volatile markets [12]. - Event-Driven Strategy: Monitors events that may cause price fluctuations, such as earnings announcements or proposed conversion price adjustments, to capitalize on market reactions [12].