当前转债定位已经接近2022年估值高点水平，也与2015年1月接近 根据历史的节奏看，转债与股市的调整普遍同步或滞后 2007、2009、2015年的全面牛市中，转债定位比现在高出许多，但当时牛市的强度和转债的稀缺性均非当前可比 调整的节奏和幅度上，转债很难先于股市调整，权益震荡偏强的预期下，下跌空间可控 结构和估值均有劣势，导致转债机会大概率不及股票，但夏普比仍能接受 转债仍是纯债投资者向权益切换的唯一出路，赚钱效应下，需求大概率延续 短期权益出现了拥挤度偏高的状况 短期因素来看，美衰退担忧抬升、政策&经济的预期、中美贸易担忧抬升，都可能压制权益市场表现 权益可能呈现V型走势 首次分歧可能是加仓机会 转债资金回补偏强，具备突破可能，供需紧张加剧突破可能性，找寻交易机会 低价转债策略空间已经明显收窄，偏股占优 稀缺性定价是后期的重要方向 a）强势方向的稀缺性定价 b）新券的偏高"底部" c）资金推动的底仓修复，消灭低价 关注一些可能催化的赛道方向 炒股就看金麒麟分析师研报，权威，专业，及时，全面，助您挖掘潜力主题机会！ 估值高位的后续演绎 2025年8月市场展望：分歧阶段，仍可延续趋势 转债组合 风险提示：海 ...

Core Viewpoint - The article discusses the current state of convertible bonds, indicating that their price-performance ratio has reached a high level not seen since 2022, suggesting a potential shift in investment strategy for holders of convertible bonds [1][3]. Summary by Sections Performance Analysis - The pricing of convertible bonds has entered a high range, with the option pricing relative to stocks also at a medium to high level [1]. - During the period from January 1, 2018, to December 31, 2021, convertible bonds were in a favorable pricing environment, yielding a cumulative return of 99.7% with a maximum drawdown of 12% [3]. - In contrast, from January 1, 2022, to October 31, 2024, convertible bonds faced a disadvantageous pricing environment, resulting in a cumulative return of -7.5% and a maximum drawdown of 38% [4]. - From November 2024 to the present, convertible bonds have shown a cumulative return of 17.3% with a maximum drawdown of 9.2%, indicating a recovery phase [4]. Recommendations - For investors holding convertible bonds or ETFs, it is suggested to gradually shift a significant portion of their holdings to investment management (IM) or high-quality public funds, as public funds have outperformed broader indices this year [5]. - Investors who can achieve noticeable alpha from convertible bonds are encouraged to dynamically adjust their asset allocation between equity and convertible bonds based on the current price-performance ratio to optimize returns [5].

Quantitative Models and Construction Methods Model Name: Convertible Bond Valuation Model - **Construction Idea**: Compare the valuation of convertible bonds with their underlying stocks using a time-series comparable valuation indicator called "Premium Rate per 100 Yuan Conversion"[5] - **Construction Process**: - Calculate the rolling historical percentile to measure the relative allocation value of convertible bonds and stocks[5] - 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 convertible bond, \( x_{i} \) is the conversion value of the i-th convertible bond[42] - **Evaluation**: The model indicates that the convertible bond valuation is relatively expensive[5] - **Test Results**: - Rolling three-year percentile: 64.9% - Rolling five-year percentile: 67.3%[5] Model Name: Convertible Bond and Credit Bond Valuation Comparison Model - **Construction Idea**: Compare the valuation of debt-oriented convertible bonds and credit bonds by stripping out the impact of conversion terms on the convertible bond's yield to maturity (YTM)[6] - **Construction Process**: - Calculate "Adjusted YTM – Credit Bond YTM" median to measure the relative allocation value between debt-oriented convertible bonds and credit bonds[6] - Formula: $$ \text{Adjusted YTM} = \text{Convertible Bond YTM} \times (1 - \text{Conversion Probability}) + \text{Expected Conversion Annual Yield} \times \text{Conversion Probability} $$ $$ \text{"Adjusted YTM – Credit Bond YTM" Median} = \text{median}\{X_1, X_2, ..., X_n\} $$ 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 term[43] - **Evaluation**: The overall allocation cost-effectiveness of debt-oriented convertible bonds is relatively low[6] - **Test Results**: - Current "Adjusted YTM – Credit Bond YTM" median: -1.26%[6] Quantitative Factors and Construction Methods Factor Name: Convertible Bond Comprehensive Valuation Factor - **Construction Idea**: Enhance the allocation value of convertible bonds from a valuation perspective by combining the deviation of conversion premium rate and theoretical value deviation (Monte Carlo model)[7][20] - **Construction Process**: - Combine the ranks of conversion premium rate deviation and theoretical value deviation (Monte Carlo model) to form the comprehensive valuation factor[21] - Formula: $$ \text{Convertible Bond Comprehensive Valuation Factor} = \text{Rank}(\text{Conversion Premium Rate Deviation}) + \text{Rank}(\text{Theoretical Value Deviation (Monte Carlo Model)}) $$ - Construct low valuation indices for equity-oriented, balanced, and debt-oriented convertible bonds based on the top 1/3 ranking of the comprehensive valuation factor[22] - **Evaluation**: The comprehensive valuation factor performs well in equity-oriented, balanced, and debt-oriented convertible bonds[20] - **Test Results**: - Equity-oriented convertible bond low valuation factor: -1.40% - Balanced convertible bond low valuation factor: -0.55% - Debt-oriented convertible bond low valuation factor: 1.12%[23] Factor Name: Convertible Bond Market Sentiment Factor - **Construction Idea**: Capture market sentiment using convertible bond momentum and volatility deviation to construct a convertible bond style rotation portfolio[27] - **Construction Process**: - Calculate the median of the sentiment factors within the low valuation style indices[27] - Formula: $$ \text{Convertible Bond Market Sentiment Factor} = \text{Rank}(\text{Convertible Bond 20-Day Momentum}) + \text{Rank}(\text{Volatility Deviation}) $$ - Allocate positions based on the ranking of sentiment factors, with bi-weekly adjustments[28] - **Evaluation**: The style rotation portfolio based on market sentiment factors shows stable excess returns[27] - **Test Results**: - Recent 4-week style rotation return: 2.37% - Year-to-date style rotation return: 29.73%[30] Model Backtest Results Convertible Bond Comprehensive Valuation Factor - **Annualized Return**: 24.63% - **Annualized Volatility**: 20.59% - **Maximum Drawdown**: -22.94% - **Information Ratio (IR)**: 1.20 - **Calmar Ratio**: 1.07 - **Monthly Win Rate**: 60.67%[24] Convertible Bond Market Sentiment Factor - **Annualized Return**: 24.00% - **Annualized Volatility**: 16.69% - **Maximum Drawdown**: -15.89% - **Information Ratio (IR)**: 1.44 - **Calmar Ratio**: 1.51 - **Monthly Win Rate**: 64.04%[33]