Convertible Bond Investment Strategy-yyb Lingbo: Double Low Convertible Bond Rotation Detailed Explanation

In the previous article, we briefly introduced the principle of the double low convertible bond rotation of the yyb Lingbo God, and friends who have not yet seen the introduction can click to read: Convertible Bond Investment Strategy - yyb Lingbo: Double low convertible bond rotation

The following is a detailed explanation of the standard, with the original text of the yyb Lingbo strategy in bold:

Strategy Details (2021.4.11 version):

(1) When the number of convertible bonds is more than 300, 20 rotating bonds are used, and each position is 5%

Explanation: At present (November 2021), there are more than 300 convertible bonds in the market, so only the number of more than 300 in the strategy is listed, and the number is less than 400, the same below. This strategy explains that in the case of full positions, we select 20 convertible bonds to hold according to the strategy, each position is 5%.

(2) Short positions are recommended to buy in batches: the double low value is less than 160, the position is 30%; the double low value is less than 155, the position is 60%; the double low value is less than 150, and the position is 100%.

Explanation: The double low value here is the average double low of the current bond. The double low value of the strategy is calculated as follows: convertible bond price + premium rate *100. Based on this calculation method, the market double low average can be found in the brainstorming record, for example, today 's (November 16, 2021) double low value is 181.54.Much higher than the position opening line, indicating that the overall valuation level of the bond is higher, it is not appropriate to open a position, waiting for the double low average to drop below 160 can open a 30% position, less than 155 to build a 60% position, less than 150 full position.

(3) When the number of convertible bonds is more than 300, 30% of the position corresponds to 10 3%, 60% of the position corresponds to 15 4%, and 100% of the position corresponds to 20 5%

Explanation: The number and proportion of convertible bonds held in different positions are given.

(4) Regular rotation cycle: half a month or a month. If the net value is a new historical high after half a month, it will rotate according to half a month, otherwise it will rotate for one month

Explanation: The position of the strategy is regularly updated, that is, regular rotation, if the market situation is better, the market value continues to reach new highs, then rotate once a month according to the conditions; if the market is poor, the double low value of the combination is not significantly improved, then it is rotated once a month.

(5) Rotation mode: double low ranking after 20% of the rotation into the double low ranking of the top 10%

Explanation: The number of existing bonds * 20%, get a double low value of 20% ranking, more than this value of the bond rotation combination, while buying the new bond in the top 10%. For example, today (November 16, 2021), the number of convertible bonds is 370, the 20% ranking is 74, and the 10% ranking is 37. In order of double low value, the 74th is the flange-to-bond, whose double-low value is 144.74, and the 37th is the gold-wheeled bond, and its double-low value is 138.01. Then the portfolio of double low value greater than 144.74 to sell the bond, while buying the double low value of less than 138.01 of the open position to transfer bonds (do not consider the valuation level is too high).

(6) Single pulse position adjustment: if the median price is less than 110 yuan, the price is required to be more than 120 yuan, and the double low value is more than 125. If the median price is greater than 110 yuan, the price is required to be more than 125 yuan, and the double low value is more than 130. At the same time, it needs to be more than 10 times larger than the double low value of the new target, and there must be a certain threshold, such as the double low value of 130.5 to 119

Explanation: In addition to the regular rotation, there are also pulse rotation transactions for capturing the rapid rise of a single bond. Median price refers to the price of convertible bonds ranked at 50% in order of convertible bond prices. If the median price is less than 110 yuan, if there is a transfer bond with a transfer price of > 120 yuan, and the double low value > 125 bonds, and the unsheathed transfer bonds have a double low value that is more than 10 times lower than the transfer bonds that are ready to be pulsed out, it meets the standard of pulse wheel out; if the median price is greater than 110 yuan, the standard is raised to the > 125 yuan of the transfer price, and the double low value > 130.

(7) Exit conditions: the double low mean value is greater than 170; or the double low value below 130 disappears. For those who have filled the position, the double low value is greater than 165 to start reducing the position, and greater than 170 is cleared

Explanation: When the overall average double low value of the market is greater than 170, or the double low value of the market below 130 disappears, it means that the overall convertible bond is extremely overvalued and liquidated. The double low value is greater than 165 when the position is reduced. The double low mean used in this strategy can be found in brainstorming.

(8) Subject exclusions: exchangeable bonds; redemptions have been issued; maturity within 1 year (at this time the value of the option is too low). Preferential treatment is given to smaller-scale bonds

Explanation: In the double-low ranking, exchangeable bonds are excluded, convertible bonds that have issued a strong redemption announcement, and bonds with a duration of about one year, and small-scale bonds are preferred, such as those with a scale of less than 1 billion. In addition, the premium rate < 15%, the price < 115 yuan, and the yield to maturity >-1% can be preferred.

Friends with a certain foundation should not be difficult to understand, if there are some difficulties, you can first review the basic knowledge of convertible bonds:

Learn about convertible bonds 1/3 from the life cycle of convertible bonds

Learn about convertible bonds 2/3 from the life cycle of convertible bonds

Learn about convertible bonds 3/3 from the life cycle of convertible bonds

In the next article, we summarize the explanation of the strategy by the God of Lingbo.

Pay attention to "staying in the right place" and take fewer detours on the road of financial freedom.