Task #7 Convertible Bond v0.1.1 Weekly Baseline
Config: weekly rebalance; three layers by pure-bond-value premium; top 20% per layer; 1/3 capital per layer; market-size weighting with 5% single-bond and 25% industry caps; HS300 200MA-based exposure; no -10% hard stop.
Data caveat: consensus EPS and target-price upgrade factors are unavailable in current RQData, so baseline uses the approved proxy set (EPS yoy, northbound/connect flow, and underlying stock momentum). Downward-reset/call/put pricing is proxied with RQData status/qualified-day fields.
Segment Metrics
| period | annualized | vol | sharpe | sortino | max_drawdown | calmar | final_nav | avg_exposure | avg_holdings | eq_bench_total_alpha | eq_bench_tracking_error | eq_bench_ir | cap_bench_total_alpha | cap_bench_tracking_error | cap_bench_ir |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| IS | 0.0653 | 0.0759 | 0.8601 | 1.2560 | -0.1274 | 0.5126 | 1.4415 | 0.5865 | 107.9835 | -0.4204 | 0.0652 | -0.7412 | 0.0750 | 0.0504 | 0.1440 |
| OOS-A | -0.1444 | 0.0885 | -1.6319 | -2.4440 | -0.1262 | -1.1445 | 0.8968 | 0.7061 | 238.6420 | 0.0261 | 0.0595 | 0.6767 | -0.0348 | 0.0369 | -1.4131 |
| OOS-B | 0.4204 | 0.1373 | 3.0621 | 3.9686 | -0.0756 | 5.5626 | 1.2902 | 0.7540 | 231.3497 | 0.0470 | 0.0595 | 1.2498 | 0.0732 | 0.0635 | 1.7207 |
| OOS-C | 0.2227 | 0.1071 | 2.0788 | 3.5196 | -0.0652 | 3.4163 | 1.1833 | 0.5600 | 138.7488 | -0.0033 | 0.0623 | -0.0090 | 0.0339 | 0.0480 | 0.8468 |
| FULL | 0.0882 | 0.0881 | 1.0017 | 1.4460 | -0.2100 | 0.4199 | 1.9736 | 0.6093 | 133.6685 | -0.4230 | 0.0636 | -0.4421 | 0.1945 | 0.0501 | 0.2312 |
Layer Attribution
| layer | annualized | vol | sharpe | sortino | max_drawdown | calmar | final_nav | avg_exposure | avg_holdings |
|---|---|---|---|---|---|---|---|---|---|
| bond | 0.0170 | 0.0209 | 0.8129 | 0.9531 | -0.0559 | 0.3039 | 1.1451 | 0.1551 | 8.1026 |
| balanced | 0.0210 | 0.0221 | 0.9494 | 1.3304 | -0.0398 | 0.5269 | 1.1817 | 0.2250 | 30.4534 |
| equity | 0.0517 | 0.0666 | 0.7767 | 1.1132 | -0.1669 | 0.3099 | 1.5003 | 0.2322 | 19.3064 |
Turnover / Holdings
- Average gross exposure: 60.93%
- Average holdings: 133.7
- Average weekly one-way turnover: 24.70%
- Max weekly one-way turnover: 25.00%
Top Factor IC by Layer
| layer | factor | mean_ic | ic_ir | n_weeks |
|---|---|---|---|---|
| balanced | yield_to_maturity | 0.0424 | 0.2182 | 427 |
| balanced | turnover_rate | 0.0307 | 0.1582 | 427 |
| balanced | theta | 0.0301 | 0.1880 | 427 |
| balanced | stock_ret_20d | 0.0194 | 0.1233 | 423 |
| balanced | eps_yoy_proxy | 0.0135 | 0.1161 | 333 |
| balanced | stock_ret_120d | 0.0115 | 0.0665 | 401 |
| balanced | connect_flow_60d | 0.0115 | 0.0917 | 320 |
| balanced | stock_ret_60d | 0.0106 | 0.0620 | 414 |
| balanced | put_qualified_days | 0.0054 | 0.0557 | 280 |
| balanced | conversion_price_reset_qualified_days | 0.0035 | 0.0188 | 427 |
| balanced | ocf_ni_proxy | 0.0034 | 0.0292 | 427 |
| balanced | vega | 0.0022 | 0.0140 | 427 |
| bond | turnover_rate | 0.0464 | 0.1458 | 365 |
| bond | stock_ret_20d | 0.0327 | 0.1201 | 365 |
| bond | yield_to_maturity | 0.0290 | 0.0867 | 365 |
| bond | connect_flow_60d | 0.0210 | 0.0782 | 303 |
| bond | theta | 0.0128 | 0.0440 | 365 |
| bond | stock_ret_120d | 0.0084 | 0.0302 | 352 |
| bond | call_qualified_days | 0.0073 | 0.0307 | 8 |
| bond | eps_yoy_proxy | 0.0068 | 0.0298 | 315 |
| bond | ocf_ni_proxy | 0.0043 | 0.0175 | 365 |
| bond | stock_ret_60d | 0.0025 | 0.0095 | 365 |
| bond | roe_proxy | 0.0005 | 0.0016 | 365 |
| bond | liquidity_20d | -0.0021 | -0.0077 | 365 |
| equity | yield_to_maturity | 0.0499 | 0.2018 | 418 |
| equity | connect_flow_60d | 0.0311 | 0.1632 | 306 |
| equity | eps_yoy_proxy | 0.0202 | 0.1369 | 371 |
| equity | theta | 0.0161 | 0.0874 | 418 |
| equity | remaining_size | 0.0123 | 0.0593 | 418 |
| equity | vega | 0.0101 | 0.0555 | 418 |
| equity | conversion_price_reset_qualified_days | 0.0060 | 0.0350 | 401 |
| equity | ocf_ni_proxy | 0.0048 | 0.0283 | 418 |
| equity | stock_ret_120d | 0.0038 | 0.0172 | 392 |
| equity | stock_ret_60d | -0.0016 | -0.0072 | 405 |
| equity | roe_proxy | -0.0041 | -0.0233 | 418 |
| equity | stock_ret_20d | -0.0087 | -0.0418 | 414 |