证券研究报告 | 金融工程 gszqdatemark 2025 06 17 年 月 日 量化点评报告 转债市场当前仍在合理区间内运行——六月可转债量化月报 转债市场在三月中的高点快速回调后，在四月份估值调整至合理区间，随 后便走出了稳定上涨的行情，那么现在转债市场估值与配置价值处于怎样 的水平？ 转债市场当前仍在合理区间内运行。截止至 2025 年 6 月 13 号，定价偏 离度指标为0.35%，分别占2018年以来与2021年以来的62.1%与53.9% 分位数水平，可见当前转债估值仍在合理区间。同时我们统计了在不同的 定价偏离度下，未来 N 日的中证转债平均收益率与胜率。当前转债市场处 于[-0.5%,0.5%)的估值区间中，统计可得历史上位于该区间时未来半年中 证转债收益率均值为 1.5%，胜率为 72%，配置价值适中。 相关研究 1、《量化点评报告：领先者基金名单：哪些基金产品的 持股行为具备前瞻性？》 2025-03-19 2、《量化分析报告：布局新质生产万亿空间大赛道—— 永赢国证商用卫星通信产业 ETF 投资价值分析》 2025-03-17 3、《量化周报：本轮日线级别上涨开始进入后半程》 20 ...

Quantitative Models and Construction 1. Model Name: CCBA Pricing Deviation Model - **Model Construction Idea**: The model evaluates the valuation level of convertible bonds by calculating the pricing deviation, which is defined as the difference between the market price and the model price derived from the CCBA model[6] - **Model Construction Process**: - Pricing deviation is calculated as: $ Pricing\ Deviation = \frac{Convertible\ Bond\ Price}{CCBA\ Model\ Price} - 1 $ - Here, "Convertible Bond Price" represents the market price of the bond, and "CCBA Model Price" is the theoretical price derived from the CCBA model[6] - Historical data is used to determine the percentile levels of the pricing deviation, and the future returns of convertible bonds are analyzed based on different deviation intervals[6][9] - **Model Evaluation**: The model indicates that the current convertible bond market is in a moderately valued range, with a pricing deviation of 0.2%, corresponding to the 58.3% and 48.3% percentiles for the periods since 2018 and 2021, respectively[6] 2. Model Name: Regression Model for Convertible Bond Returns - **Model Construction Idea**: This model uses pricing deviation and YTM spread as explanatory variables to predict the future six-month returns of convertible bonds[12] - **Model Construction Process**: - The regression model is constructed with the following variables: - Explanatory variables: Pricing deviation and YTM spread - Dependent variable: Future six-month returns of convertible bonds - The regression includes sign constraints to ensure the model aligns with economic intuition[12] - **Model Evaluation**: The model demonstrates that convertible bonds in low-price, low-valuation intervals tend to have higher expected returns. However, the current prediction for the next six months is neutral, with an expected return of 0.58%[12] 3. Model Name: Return Decomposition Model - **Model Construction Idea**: This model decomposes the returns of convertible bonds into three components: bond floor returns, equity-driven returns, and valuation-driven returns[15] - **Model Construction Process**: - The model uses the CCB model to calculate the bond floor and equity-driven returns, while the valuation-driven returns are derived as the residual[15] - **Model Evaluation**: The model highlights that in the past month, equity-driven returns contributed -0.79%, and valuation-driven returns contributed -1.55% to the overall performance of the convertible bond index[15][19] --- Quantitative Factors and Construction 1. Factor Name: CCB_Out Pricing Deviation - **Factor Construction Idea**: This factor adjusts the CCBA pricing deviation by incorporating delisting risks to improve valuation accuracy[22] - **Factor Construction Process**: - The adjusted pricing deviation is calculated as: $ Adjusted\ Pricing\ Deviation = \frac{Convertible\ Bond\ Price}{CCB\_Out\ Model\ Price} - 1 $ - Here, "CCB_Out Model Price" accounts for delisting risks in the theoretical pricing[22] - **Factor Evaluation**: The factor is used in multiple strategies, such as low-valuation strategies, to identify undervalued convertible bonds. It has demonstrated strong stability and performance over time[22] 2. Factor Name: Momentum Factor - **Factor Construction Idea**: This factor captures the momentum of the underlying stock prices of convertible bonds over different time horizons[25] - **Factor Construction Process**: - Momentum scores are calculated based on the equal-weighted returns of the underlying stocks over the past 1, 3, and 6 months[25] - **Factor Evaluation**: When combined with the adjusted pricing deviation factor, the momentum factor enhances the elasticity of strategies, leading to higher returns in certain market conditions[25] 3. Factor Name: Turnover Factor - **Factor Construction Idea**: This factor identifies convertible bonds with high trading activity, which may indicate better liquidity and market interest[30] - **Factor Construction Process**: - The turnover factor is calculated using: - Convertible bond turnover rates over 5 and 21 days - The ratio of convertible bond turnover to stock turnover over the same periods[30] - **Factor Evaluation**: The factor is particularly effective in identifying high-liquidity bonds within low-valuation pools, contributing to the success of high-turnover strategies[30] --- Backtesting Results of Models 1. CCBA Pricing Deviation Model - **Six-Month Average Return**: 1.5% - **Six-Month Win Rate**: 72%[6][9][11] 2. Regression Model for Convertible Bond Returns - **Expected Six-Month Return**: 0.58% - **Optimistic Scenario**: 3.91% - **Pessimistic Scenario**: -3.06%[12] 3. Return Decomposition Model - **Equity-Driven Return (Past Month)**: -0.79% - **Valuation-Driven Return (Past Month)**: -1.55%[15][19] --- Backtesting Results of Factors 1. CCB_Out Pricing Deviation - **Annualized Return (2018-2025)**: 21.8% - **Annualized Excess Return**: 12.4% - **IR**: 2.12[25] 2. Momentum Factor - **Annualized Return (2018-2025)**: 24.5% - **Annualized Excess Return**: 14.9% - **IR**: 2.41[29] 3. Turnover Factor - **Annualized Return (2018-2025)**: 23.2% - **Annualized Excess Return**: 13.8% - **IR**: 2.15[33]