Near-Maturity Convertible Bond Rotation with Credit Filters and Equity Volatility Ranking
Summary
This strategy selects Chinese convertible bonds nearing maturity, aiming to combine a price discount to redemption value with screening for issuer credit risk. It excludes bonds linked to special-treatment stocks, requires positive trailing earnings and tighter leverage or net-cash conditions for private issuers, and relaxes some of these rules for state-owned issuers. Bonds must trade below a redemption-price threshold, have a specified remaining maturity window, and show daily trading activity.
Eligible bonds are ranked by the underlying stock’s high-to-low price ratio over the prior 252 sessions, with up to 15 positions held at equal weights. The portfolio is rebalanced at the open using prior-day data. A moving-average bearish crossover or a large daily gain triggers an exit at the next open. The source reports backtest returns and drawdown for a stated period, but supplies no detailed methodology, benchmark, or independent validation; its live-performance claim is unverified. Results may also depend on data quality, execution costs, credit events, and the behavior of bonds near redemption.
Key ideas
- The strategy filters convertible bonds by issuer status, profitability, leverage or net cash, price, maturity, and liquidity.
- Eligible bonds are ranked by the underlying stock’s 252-session high-to-low price ratio.
- The portfolio holds up to 15 equally weighted bonds and rebalances daily at the open.
- A bearish 7-day and 19-day moving-average crossover or a daily gain above the stated threshold prompts a next-open exit.
- Reported performance is backtest evidence without a described benchmark or independent validation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.