Workflow
可转债市场估值
icon
Search documents
可转债市场趋势定量跟踪:转债期权定价小幅偏贵,正股估值完成一轮底部修复
CMS· 2025-07-23 15:29
Quantitative Models and Construction Methods 1. Model Name: CRR Pricing Model for Convertible Bonds - **Model Construction Idea**: The CRR pricing model uses a binomial tree framework to calculate the theoretical value of convertible bonds, incorporating embedded options, credit spreads, and other factors to improve pricing accuracy compared to traditional models like BSM[15][44]. - **Model Construction Process**: 1. Use the CRR binomial tree model to calculate the theoretical value of convertible bonds. 2. Define the "pricing deviation" as the difference between the CRR theoretical price and the market price. 3. Select bonds with the highest pricing deviation for portfolio construction. 4. Rebalance the portfolio monthly with equal weighting[15][44][45]. - **Model Evaluation**: The CRR model is more precise than traditional models like BSM due to its consideration of embedded clauses and credit spreads[15][44]. 2. Model Name: Low Valuation Momentum Strategy - **Model Construction Idea**: This strategy combines low valuation metrics (e.g., low conversion premium) with momentum indicators (e.g., short-term stock price trends) to identify undervalued convertible bonds with upward potential[48][49]. - **Model Construction Process**: 1. Screen bonds based on criteria such as credit rating (AA- or above), liquidity, and absence of negative historical events. 2. Classify bonds into equity-like, balanced, and debt-like categories based on parity levels. 3. Score bonds within each category based on valuation metrics and momentum indicators. 4. Select the top 10 bonds from each category for portfolio inclusion. 5. Rebalance the portfolio monthly with equal weighting[48][49][51]. - **Model Evaluation**: The strategy effectively combines valuation and momentum factors to capture both undervaluation and positive price trends[48][49]. --- Model Backtesting Results 1. CRR Pricing Model - **Absolute Return (June)**: 3.73% - **Annualized Return (Since 2017)**: 15.56% - **Maximum Drawdown**: 12.08% - **Return-to-Volatility Ratio**: 1.22 - **Return-to-Drawdown Ratio**: 1.29 - **Monthly Win Rate**: 62.22%[44][48]. 2. Low Valuation Momentum Strategy - **Absolute Return (June)**: 2.91% - **Annualized Return (Since 2017)**: 15.39% - **Maximum Drawdown**: 11.26% - **Return-to-Volatility Ratio**: 1.21 - **Return-to-Drawdown Ratio**: 1.37 - **Monthly Win Rate**: 65.56%[49][55]. --- Quantitative Factors and Construction Methods 1. Factor Name: Conversion Premium - **Factor Construction Idea**: The conversion premium measures the relative overvaluation of a convertible bond compared to its parity value, serving as a valuation indicator[13][15]. - **Factor Construction Process**: 1. Use a power function model to fit the relationship between parity value and conversion premium. 2. Calculate the median conversion premium for equity-like, balanced, and debt-like bonds. 3. Track changes in the conversion premium curve over time[13][15]. 2. Factor Name: Implied Volatility - **Factor Construction Idea**: Implied volatility reflects the market's expectations of future stock price fluctuations, derived from convertible bond prices using the BSM model[35][36]. - **Factor Construction Process**: 1. Use the BSM model to reverse-calculate implied volatility from convertible bond prices. 2. Aggregate implied volatility data to calculate the median and weighted average for the market. 3. Monitor changes in implied volatility over time to assess market sentiment[35][36]. --- Factor Backtesting Results 1. Conversion Premium - **Equity-like Bonds**: Median premium increased from 7.72% to 9.18% (+1.46%) - **Balanced Bonds**: Median premium increased from 23.67% to 26.05% (+2.37%) - **Debt-like Bonds**: Median premium increased from 57.49% to 62.77% (+5.28%)[15][18]. 2. Implied Volatility - **Market Median**: Increased from 32.25% to 35.35% (+3.10%) - **Weighted Average**: Increased from 28.93% to 35.24% (+6.41%)[35][36].