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Quant Investing: What Happens to Convertible Bonds in 2021? Part 2 中文

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在上一篇報告中我們發現可轉債 ETF 的異常。我們搜尋市場上的因子都沒有一種可以很好解釋可轉債的報酬來源。從可轉債發行公司的股價,我們發現了一種不同於其他因子的獨有風險。最後,我們利用 QQQ 和可轉債 ETF 建立投資組合來對沖風險,並獲得每年穩定的正報酬。

In the previous report, we mentioned the abnormal performance of convertible bond ETF and tried to explain the source of its return. But, unfortunately, there seems to be no way to be explained by the Carhart 4-factor model.

We started from the corporate, industrial, and bond aspects, trying to find why the convertible bonds deviated from the market, but there was no good solution. So, finally, We tracked the share price performance of the companies this year and found that those companies have idiosyncratic risks that are different from the market.

Figure1 Performance of ICVT and Underlying Stocks

We use different strategies to hedge the risk of convertible bonds this year and back-test from 2015 to the present. We found that the allocation of convertible bonds and QQQ can effectively hedge the risk of CWB. As a result, the annualized remuneration increased from 14.5% to 24.9% while maintaining the annual positive return.

Figure 2 Backtest chart of hedging strategy
Table 1 Backtest result of hedging strategy

CY Yang
Quantitative Research Intern, Quantitative FinanceGamma Paradigm


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