Quantitative Models and Construction Methods Model Name: Convertible Bond Valuation Model - **Construction Idea**: The model aims to compare the valuation of convertible bonds with their underlying stocks and other credit bonds to determine relative investment value[4][13] - **Construction Process**: - **Convertible Bond and Stock Valuation**: Construct the "Hundred Yuan Conversion Premium Rate" to compare the valuation of convertible bonds and stocks over time. Calculate the rolling historical percentile to measure the relative configuration value[4][13] - Formula: $$ y_{i}=\alpha_{0}+\,\alpha_{1}\cdot\,{\frac{1}{x_{i}}}+\epsilon_{i} $$ where \( y_{i} \) is the conversion premium rate of the i-th bond, \( x_{i} \) is the conversion value of the i-th bond[46] - **Convertible Bond and Credit Bond Valuation**: Focus on the impact of conversion terms on the yield to maturity (YTM) of convertible bonds, and calculate the "Adjusted YTM - Credit Bond YTM" median to measure the relative configuration value between convertible bonds and credit bonds[4][13] - Formula: $$ \text{Adjusted YTM} = \text{Convertible Bond YTM} \times \text{Maturity Probability} + \text{Expected Conversion Yield} \times \text{Conversion Probability} $$ $$ = \text{Convertible Bond YTM} \times (1 - \text{Conversion Probability}) + \text{Expected Conversion Yield} \times \text{Conversion Probability} $$ $$ \text{Adjusted YTM - Credit Bond YTM Median} = \text{median}\{X_1, X_2, ..., X_n\} $$ where \( X_i \) represents the difference between the adjusted YTM of the i-th convertible bond and the YTM of a credit bond of the same grade and maturity[47][48] - **Evaluation**: The model provides a systematic approach to evaluate the relative investment value of convertible bonds compared to their underlying stocks and other credit bonds[4][13] Model Name: Convertible Bond Style Rotation Model - **Construction Idea**: The model captures market sentiment using momentum and volatility deviation indicators to construct a convertible bond style rotation portfolio[5][23] - **Construction Process**: - **Market Sentiment Indicators**: Use convertible bond 20-day momentum and volatility deviation as market sentiment capture indicators[5][23] - Formula: $$ \text{Convertible Bond Style Market Sentiment Capture Indicator} = \text{Rank}(\text{Convertible Bond 20-day Momentum}) + \text{Rank}(\text{Volatility Deviation}) $$ - **Portfolio Construction**: Rank the convertible bond style indices based on the sentiment indicators, and allocate the portfolio based on the rankings. If all three styles are selected, invest 100% in the balanced low valuation style[5][23][32] - **Evaluation**: The model effectively captures market sentiment and adjusts the portfolio allocation to optimize returns[5][23] Model Backtest Results Convertible Bond Valuation Model - **Hundred Yuan Conversion Premium Rate**: Rolling three-year percentile at 43.5%, rolling five-year percentile at 49.8%[4][13][16] - **Adjusted YTM - Credit Bond YTM Median**: Current median at 0.11%[4][13][16] Convertible Bond Style Rotation Model - **Recent 4-week Returns**: Convertible bond style rotation return at 8.58%, year-to-date return at 23.98%[5][33][35] - **Information Ratio**: Convertible bond style rotation IR at 1.46, convertible bond low valuation equal-weight index IR at 1.22, convertible bond equal-weight index IR at 0.71[38] Quantitative Factors and Construction Methods Factor Name: Convertible Bond Comprehensive Valuation Factor - **Construction Idea**: Combine the deviation of conversion premium rate and theoretical value deviation (Monte Carlo model) to construct a comprehensive valuation factor[5][24] - **Construction Process**: - **Conversion Premium Rate Deviation**: - Formula: $$ \text{Conversion Premium Rate Deviation} = \text{Conversion Premium Rate} - \text{Fitted Conversion Premium Rate} $$ - **Theoretical Value Deviation (Monte Carlo Model)**: - Formula: $$ \text{Theoretical Value Deviation} = \frac{\text{Convertible Bond Closing Price}}{\text{Theoretical Value}} - 1 $$ Monte Carlo model simulates 10,000 paths at each time point, using the same credit term limit rate as the discount rate to calculate the theoretical value of the convertible bond[25] - **Comprehensive Valuation Factor**: - Formula: $$ \text{Convertible Bond Comprehensive Valuation Factor} = \text{Rank}(\text{Conversion Premium Rate Deviation}) + \text{Rank}(\text{Theoretical Value Deviation (Monte Carlo Model)}) $$ - **Evaluation**: The factor provides a robust method to evaluate the valuation of convertible bonds comprehensively[5][24] Factor Backtest Results Convertible Bond Comprehensive Valuation Factor - **Recent 4-week Returns**: Low valuation factor enhanced excess returns in convertible bonds: 1.56% for equity-biased, 0.10% for balanced, 0.18% for debt-biased[27] - **Information Ratio**: Equity-biased convertible bond low valuation index IR at 1.22, balanced convertible bond low valuation index IR at 1.16, debt-biased convertible bond low valuation index IR at 1.29[28] Convertible Bond Low Valuation Index Components Equity-biased Convertible Bond Low Valuation Index Components - **Components**: Guangda Convertible Bond, Jindan Convertible Bond, Jingdang Convertible Bond, etc.[6][43] Balanced Convertible Bond Low Valuation Index Components - **Components**: Liqun Convertible Bond, Hebang Convertible Bond, Ying 19 Convertible Bond, etc.[6][44] Debt-biased Convertible Bond Low Valuation Index Components - **Components**: Dongnan Convertible Bond, Shunbo Convertible Bond, Huitong Convertible Bond, etc.[6][45]

Group 1 - The market is expected to continue its oscillation in the short to medium term, with accelerated style rotation driven by monetary policy easing and strong export performance [1] - In May, a rotation pattern of "risk aversion - consumption - growth" may re-emerge, starting with technology growth stocks, followed by a shift towards defensive assets as macroeconomic risks increase [1] - The recovery of the consumption sector is anticipated after the defensive phase, supported by policy dividends and improving consumption data, leading to new investment opportunities driven by domestic demand [1] Group 2 - The market shows resilience due to dual drivers of policy support and economic recovery, despite short-term fluctuations in trading volume reflecting cautious sentiment [2] - The first quarter saw a positive turnaround in net profit growth for all A-shares, indicating improving corporate earnings and strengthening internal economic recovery [2] - The effects of monetary policy easing and long-term capital inflows are expected to enhance liquidity, supporting a continued recovery in consumption and investment sectors [2]

行业研究 上周量化私募超额有所回升，中性策略正收益。上周样本量化私募收益及超额如下： 1）300 增强策略周/月/年初以来平均收益分别为-0.4%/-1.3%/-1.8%，周/月/年初以来平均 超额分别为+0.1%/+0.9%/+3.3%；2）500 增强策略周/月/年初以来平均收益分别为+0.4%/- 1.7%/+2.3%，周/月/年初以来平均超额分别为+0.3%/+2%/+7.1%；3）A500 增强策略周/月 /年初以来平均收益分别为-0.2%/+1.5%/+5.6%，周/月/年初以来平均超额分别为- 0.1%/+4.1%/+11%；4）1000 增强策略周/月/年初以来平均收益分别为+0.7%/-1.2%/+5.4%， 周/月/年初以来平均超额分别为+0.5%/+3%/+9.2%；5）空气指增策略周/月/年初以来平均 收益分别为+0.8%/-0.2%/+7.8%；6）市场中性策略周/月/年初以来平均收益分别为 +0.2%/+0.8%/+4.4%。 指数收益情况：1）沪深 300 相对中证 500 周/月/年初以来超额收益分别为-0.4%/- 0.2%/+1.9%；2）中证 1000 相对中证 500 ...

金融资金面跟踪：量化周报（2025/05/05~2025/05/09） 推荐（维持） 成交量有所增长，超额有所回升 行业研究 非银行金融 2025 年 05 月 11 日 | 华创证券研究所 | | | --- | --- | | 证券分析师：徐康 | 证券分析师：刘潇伟 | | 电话：021-20572556 | 邮箱：liuxiaowei@hcyjs.com | | 邮箱：xukang@hcyjs.com | 执业编号：S0360525020001 | | 执业编号：S0360518060005 | | 证 券 研 究 报 告 上周量化私募超额有所回升，中性策略正收益。上周样本量化私募收益及超额如下： 1）300 增强策略周/月/年初以来平均收益分别为-0.4%/-1.3%/-1.8%，周/月/年初以来平均 超额分别为+0.1%/+0.9%/+3.3%；2）500 增强策略周/月/年初以来平均收益分别为+0.4%/- 1.7%/+2.3%，周/月/年初以来平均超额分别为+0.3%/+2%/+7.1%；3）A500 增强策略周/月 /年初以来平均收益分别为-0.2%/+1.5%/+5.6%，周/月/年初以来 ...

[Table_StockNameRptType] 金融工程 专题报告 5 月看好小盘成长风格 ——风格轮动月报 202505 [Table_Rpt 报告日期： Date] 2025-5-7 主要观点： 分析师：严佳炜 执业证书号：S0010520070001 邮箱：yanjw@hazq.com ⚫[Table_Summary] 观点回顾：4 月大小盘轮动超额-0.3%，价值成长轮动超额收益 0.2% 2025 年 4 月，风格轮动模型看多大盘成长风格。本月大小盘轮动组合 相对风格等权基准的超额收益为-0.3%；价值成长轮动组合相对风格等 权基准的超额收益为 0.2%。 联系人：吴正宇 执业证书号：S0010522090001 邮箱：wuzy@hazq.com ⚫ 最新观点：5 月建议配置小盘成长风格 5 月模型判断风格为小盘成长：其中，宏观经济和微观特征指向小盘风 格，而市场状态模型看好大盘。价值成长维度，各子模型均指向成长风 格。 ⚫ 风险提示 本报告基于历史个股数据进行测试，历史回测结果不代表未来收益。未 来市场风格可能切换，Alpha 因子可能失效，本文内容仅供参考。 [Table_CompanyRep ...

关键因素 图利 绝对差值和边际变化 重要指标 II 价值成长轮动策略 II 深圳证券交易所 ( SHENZHEN STOCK EXCHANGE 深交所ETF投资问答(42) 如何的身上了 II t FE ALKE 0 n - 编者按 - 近年来我国指数型基金迅速发展,交易型开 放式指数基金(ETF) 备受关注。为帮助广 大投资者系统全面认识ETF,了解相关投资 方法,特摘编由深圳证券交易所基金管理部 编著的《深交所ETF投资问答》（中国财政 经济出版社2024年版）形成图文解读。本 篇是第42期,一起来看看如何通过ETF构建 风格配置策略。 风格轮动是依据ETF特征进行交易的 行为，常见的风格轮动有大小盘轮动、 成长价值轮动等。风格轮动的分析框 架需要对比指数间的相对强弱，因此 预测难度更大。 II 影响风格轮动强弱的因素 II 价值和成长两类股票具有明显基本面 的差异。 价值类股票往往具备更好 的安全边际 成长类股票则可能具备更 好的盈利前景 观察风格间的相对业绩增速趋势,有 助于进行风格配置。除此之外，市场 中也有投资者通过估值指数来衡量价 值与成长之间的风格轮动。 u 大小鱼论动策略 ! 大小盘轮动通常 ...

50等大盘股微跌，小盘股上涨。 文 | 银行螺丝钉 （转载请注明出处） 今天大盘微涨微跌，波动不大，还在5.1星。 昨天比较坚挺的价值风格，今天微跌，成长风格微涨。 最近市场风格轮动比较明显。 遇到下跌的时候，大盘、价值股相对抗跌； 遇到上涨的时候，小盘股、成长股弹性更大。 盈亏同源。 两者搭配会让组合更稳定一些。 1. 昨天有朋友问，像红利等指数基金，有一些成立以来，年化达到10%以上甚至更高。 看起来红利指数的波动也不大，那投资者岂不是很容易就拿到这个收益？ 那投指数基金还有啥难的？ 确实，是有一些红利指数基金，成立多年，年化达到10%以上（加上分红）。 例如最基础的中证红利。这个多年甚至达到10年以上。 投资者在低估的时候买入红利基金，并长期坚持下来，也会获得这个收益。 当时有价值风格的基金，被投资者赎回超过90%。 2022年-2024年，红利等指数，在熊市中比较有优势，跑赢了大盘。 这两年红利又受欢迎。 从全市场角度， 但难就难在坚持上。 基金投资者，平均持有股票基金的时间长度是几个月。 但是A股是存在风格轮动的。 红利属于价值风格，遇到成长风格牛市的时候，就会跑输市场。 例如在2019-2020年 ...

过去几年，人民币债券是一轮小牛市。 到了2024年，长期债券在上涨后，波动也逐渐变大。 很多朋友都会关心： 这里为大家准备了一门限时免费的课程，详细介绍了债券指数基金的相关问题。 长按识别下方二维码，添加@课程小助手，回复「 债券基金 」即可领取～ ◆◆◆ 文 | 银行螺丝钉 （转载请注明出处） 类似的，估值当前比较低的品种，未来更有 可能会迎来上涨。 不过也需要注意，即便都是低估，但之后上 涨的先后顺序可能会有一些区别。 例如2018年底时，成长风格、价值风格都 处于较低的位置，随后， · 2019-2020年，成长风格率先上涨； ·一直到2021年后，价值风格才开始上涨。 因为整个市场上，投资者的资金就那么多， 不同风格的品种往往不是同涨同跌的，会出 现风格上的轮动。 所以，我们在投资时，可以在熊市底部分散 配置不同风格的低估品种。 · 债券基金的收益和风险，有哪些特点？ · 为何普通投资者，更适合投资债券指数基金？ · 当前哪些债券指数基金，投资价值较高？ 不过,尽管每轮上涨的风格有别,但也会有 一些共同的特征。 比如说，之前估值比较高的品种，之后可能 会迎来估值回归，下跌幅度会比较大。 例如大盘成长， ...

Quantitative Models and Construction Methods 1. Model Name: "百元转股溢价率" (Premium Rate per 100 Yuan Conversion) - **Model Construction Idea**: This model aims to compare the valuation of convertible bonds and their underlying stocks by calculating a time-series comparable valuation indicator, "百元转股溢价率" (Premium Rate per 100 Yuan Conversion), and using rolling historical percentiles to measure the relative allocation value[4][15]. - **Model Construction Process**: - Fit the relationship curve between the conversion premium rate and conversion value in the cross-sectional space at each time point - Substitute a conversion value of 100 into the fitted formula to obtain the "百元转股溢价率" - Formula: $$y_{i}=\alpha_{0}+\,\alpha_{1}\cdot\,{\frac{1}{x_{i}}}+\epsilon_{i}$$ where \(y_{i}\) represents the conversion premium rate of the \(i\)-th bond, and \(x_{i}\) represents the conversion value of the \(i\)-th bond[44] - **Model Evaluation**: Provides a relative valuation perspective 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 assess the relative allocation value between debt-heavy convertible bonds and credit bonds[5][15]. - **Model Construction Process**: - Adjust the YTM of debt-heavy convertible bonds by considering the probability of conversion and maturity - Formula: $$\text{Adjusted YTM} = \text{Convertible Bond YTM} \times (1 - \text{Conversion Probability}) + \text{Expected Annualized Return of Conversion} \times \text{Conversion Probability}$$ - Conversion probability is calculated using the Black-Scholes (BS) model, incorporating stock price, strike price, stock volatility, remaining maturity, and discount rate - Calculate the median difference between the adjusted YTM of convertible bonds and the YTM of credit bonds of the same rating and maturity: $$\text{"Adjusted YTM - Credit Bond YTM Median"} = \text{median}\{X_1, X_2, ..., X_n\}$$ where \(X_i\) represents the difference for the \(i\)-th convertible bond[45][46] - **Model Evaluation**: Highlights the cost-effectiveness of debt-heavy convertible bonds compared to credit bonds[5] 3. Model Name: Convertible Bond Style Rotation Model - **Model Construction Idea**: This model captures market sentiment using momentum and volatility deviation indicators to construct a convertible bond style rotation portfolio, with bi-weekly rebalancing[6][27]. - **Model Construction Process**: - Calculate the following sentiment indicators for each convertible bond: - 20-day momentum - Volatility deviation - Rank the indicators in reverse order and sum the rankings to determine the market sentiment capture indicator for each style index: $$\text{Market Sentiment Capture Indicator} = \text{Rank (20-day Momentum)} + \text{Rank (Volatility Deviation)}$$ - Allocate portfolio weights based on the rankings, with a preference for the style index with the lowest indicator value. If rankings are equal, allocate weights equally. If all three styles are selected, allocate 100% to the balanced low-valuation style[28] - **Model Evaluation**: Demonstrates superior performance compared to the equal-weighted convertible bond index, with a focus on balanced low-valuation styles[27][33] --- 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 rate from its fitted value, enabling comparability across different parities[19][20]. - **Factor Construction Process**: $$\text{Conversion Premium Deviation} = \text{Conversion Premium Rate} - \text{Fitted Conversion Premium Rate}$$ - The number of convertible bonds determines the fitting quality[20] - **Factor Evaluation**: Provides a robust measure for identifying valuation discrepancies in convertible bonds[20] 2. Factor Name: 理论价值偏离度 (Theoretical Value Deviation, Monte Carlo Model) - **Factor Construction Idea**: Quantifies the price expectation gap by considering various convertible bond terms (e.g., conversion, redemption, downward revision, put options) through Monte Carlo simulation[19][20]. - **Factor Construction Process**: $$\text{Theoretical Value Deviation} = \frac{\text{Convertible Bond Closing Price}}{\text{Theoretical Value}} - 1$$ - Simulate 10,000 paths at each time point using the Monte Carlo model, with the same credit term interest rate as the discount rate[20] - **Factor Evaluation**: Effectively captures valuation discrepancies, particularly for equity-heavy convertible bonds[19][20] 3. Factor Name: 转债综合估值因子 (Comprehensive Convertible Bond Valuation Factor) - **Factor Construction Idea**: Combines the rankings of the above two factors to enhance valuation analysis across all domains (equity-heavy, balanced, debt-heavy)[19][20]. - **Factor Construction Process**: $$\text{Comprehensive Convertible Bond Valuation Factor} = \text{Rank (Conversion Premium Deviation)} + \text{Rank (Theoretical Value Deviation)}$$ - **Factor Evaluation**: Demonstrates superior performance in identifying undervalued convertible bonds across different styles[19][20] --- Backtesting Results of Models 1. Convertible Bond Style Rotation Model - **Annualized Return**: 23.38% - **Annualized Volatility**: 16.48% - **Maximum Drawdown**: -15.54% - **IR**: 1.42 - **Calmar Ratio**: 1.50 - **Monthly Win Rate**: 65.12%[33] --- Backtesting Results of Factors 1. 转股溢价率偏离度 Factor - **Equity-Heavy Convertible Bonds**: Enhanced excess return of 0.9% over the past 4 weeks[22] - **Balanced Convertible Bonds**: Enhanced excess return of 1.2% over the past 4 weeks[22] - **Debt-Heavy Convertible Bonds**: Enhanced excess return of -0.3% over the past 4 weeks[22] 2. 理论价值偏离度 Factor - **Equity-Heavy Convertible Bonds**: Enhanced excess return of 0.9% over the past 4 weeks[22] - **Balanced Convertible Bonds**: Enhanced excess return of 1.2% over the past 4 weeks[22] - **Debt-Heavy Convertible Bonds**: Enhanced excess return of -0.3% over the past 4 weeks[22] 3. 转债综合估值因子 Factor - **Equity-Heavy Convertible Bonds**: Enhanced excess return of 0.9% over the past 4 weeks[22] - **Balanced Convertible Bonds**: Enhanced excess return of 1.2% over the past 4 weeks[22] - **Debt-Heavy Convertible Bonds**: Enhanced excess return of -0.3% over the past 4 weeks[22]

文 | 银行螺丝钉 （转载请注明出处） ◆◆◆ 长按识别下方二维码，添加@课程小助手，回复「 美元债券 」即可领取～ · 想投资美元债券类资产，有哪些方式？ · 美元债基金，当前投资价值如何？ · 投资美元债基金，会有哪些风险？ 大家对美债的关注度日渐提高。 这里为大家准备了一门限时免费的课程，全面讲解美元债券基金投资。 比如： 如果以跑赢跑输看待红利策略，那就会患得 患失。 实际上,能长期坚持投资红利类品种的,通 常是从股息率的角度看待红利。 例如保险和养老金机构，是需要每年获得现 金流。 大家一般什么时候喜欢投红利呢? 往往是在熊市,这时往往其他品种下跌了, 红利类品种还是上涨的。 但等到下一轮牛市来临时，其他品种大涨， 红利却可能涨幅不大。 这时很多人就会骂红利，怀疑这个策略是不 是有问题,干脆卖掉手里的红利类品种,追 涨成长类品种。 等到下一轮牛熊市,还是这样反反复复,相 当于刚好做了一个反向操作,也就是我们常 说的追涨杀跌。 其实对红利这类品种，如果想要长期坚持下 来，最好不要以短期跑赢跑输市场来看待。 因为风格轮动的存在，红利肯定会在某几年 跑输市场。这在长达几十年的投资中,几乎 是一定会遇到的。 ...