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 factor influencing the pricing of convertible bonds is the underlying stock price, which directly affects their conversion value. The bonds exhibit a T+0 trading mechanism, allowing for good liquidity and turnover [8][9]. - Convertible bonds have unique contractual advantages, such as downwards adjustment and redemption clauses, which protect investor interests. Issuers typically have a strong incentive to convert bonds into stock, aligning the interests of both issuers and investors [8]. - The embedded bond value of convertible bonds is influenced by the interest rate environment. A decrease in market interest rates enhances the attractiveness of convertible bonds as fixed-income assets, thereby supporting their price [10]. - The supply-demand dynamics in the convertible bond market are crucial. The issuance pace and scale of convertible bonds directly affect market supply, while institutional investors significantly influence demand [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 adjustments to conversion prices [12].