1
The past and present lives of the yyb Limbo combination double low-spin bond rotation strategy
The Convertible Bond Rotation Strategy is a combination created by YYB Lingbo, a big man on Brainsucker, on May 15, 2018, when the number of convertible bonds that could be traded was only 70.
(Original reprinted from Snowball Network: yyb Lingbo)
Add up the convertible bond price and premium rate*100, and the smaller the value, the higher the ranking. The statistical results are as follows
90-100:1 100-110:8 110-120:16 120-130:22 130-140:10 140-150:4 150 or more: 10% of 9 selected samples (i.e. the top 7) are initial positions. Waiting for the ranking to be greater than 20% of the sample (i.e. 15th) to rotate out, so that the cycle continues, is this strategy feasible?
2
The basic situation of the double-low bond rotation strategy
2.1
Performance:
Convertible bond rotation strategy was released on 2015-05-15, released so far, from the performance chart of the convertible bond rotation strategy and the CSI 300, the convertible bond revolving strategy (170.16%) significantly outperformed the CSI 300 (20.08%) 97.92%
3
Transaction history of Chengdu Bank and Industrial Bank
2021-12-10 Ximen and car yb Lingbo's double low convertible bond rotation strategy to build a position in Chengdu Bank and Industrial Bank (in the same period also built several other bank stocks), according to the 5% grid operation, today all clearance, Chengdu Bank cumulative yield of 78.58%, Industrial Bank cumulative yield of 17.39%
4
Buy logic
On November 11, 2021, yyb published an article after nearly 2 months of short positions (starting short positions on September 22) and began to build undervalued bank stocks. (Original reprinted from Snowball Network: yyb Lingbo)
11.11
5 bank stocks have been bought as bank bond equivalents.
The conversion premium rate of the five convertible bonds is close to the record high.
These 5 are only within 4 years of the maturity time, the conversion premium rate divided by the top 5 of the maturity time, are greater than 10% / year, perhaps the premium rate is not filled in when it expires, if it is filled in, it will be 10% annualized on the excess transfer bond on the stock price that cannot be lowered.
At the same time, it is gambled that the bank will pull the stock under the pressure of the equity transfer clause, and the valuation of the bank will also be low, and it will continue to adhere to the low-risk strategy.
At present, the risk of falling the premium rate of the bond transfer is greater than the risk of the decline of the underlying stock.
Property risks have been exposed, and the hardest for banks to anticipate has passed.
That's why the last time I bought a bank bond, this time I bought a bank stock.
5
Sell logic
On January 27, 2022, yyb Lingbo published an article to liquidate some bank stocks for the first time: Industrial Bank and Chengdu Bank. (Original reprinted from Snowball Network: yyb Lingbo)
Today's Portfolio Equity +0.43% High Drawdown 2.40%
This year's bank-to-bond control group net value of 1.167 portfolio net value 1.0339 currently exceeded +1.72%
Today's clearance of Chengdu and IB positions dropped to 90%
Cash Position: Defensive Position: Offensive Position = 10%: 68%: 22%
The current high-dividend low-wave strategy drawdown can be controlled and patiently wait for the market panic moment
6
postscript
At present, the premium rate of convertible bonds is too high, the latest data convertible bonds average 144 yuan, double low average of 187 yuan, we continue to hold high dividends and low wave of bank stocks, strategic drawdown controllable, patiently waiting for the market panic moment.