DeepPricing: pricing convertible bonds based on financial time-series generative adversarial networks

Financial Innovation

Table 7 Strategy performance in Chinese convertible bond market based on DeepPricing model

	AR	AVOL	MDD	DD	ASR	STR	CR
Equally-weighted
Panel A.1. Long-short strategy
Long-short	0.4116	0.3260	0.2178	0.1985	1.2626	2.0737	1.8901
Long-only	0.3106	0.1653	0.1034	0.1094	1.8793	2.8389	3.0049
Short-only	−0.1009	0.3629	0.2541	02787	−0.2782	−0.3622	−0.3973
Panel A.2. Long-only strategy
Long-only	0.3106	0.1653	0.1034	0.1094	1.8793	2.8389	3.0049
Convertible bonds Index (equally-weighted)	0.1394	0.1324	0.0739	0.0929	1.0533	1.5004	1.8873
Excess return	0.1712	0.0987	0.0566	0.0598	1.7353	2.8615	3.0249
Value-weighted
Panel B.1. Long-short strategy
Long-short	0.4252	0.3300	0.2409	0.2054	1.2884	2.0701	1.7650
Long-only	0.3709	0.2050	0.1562	0.1284	1.8089	2.8879	2.3737
Short-only	−0.0543	0.3395	0.2389	0.2569	−0.1600	−0.2115	−0.2274
Panel B.2. Long-only strategy
Long-only	0.3709	0.2050	0.1562	0.1284	1.8089	2.8879	2.3737
Convertible bonds Index (value-weighted)	0.0789	0.1116	0.0828	0.0774	0.7064	1.0194	0.9521
Excess return	0.2920	0.1509	0.0998	0.0854	1.9356	3.4185	2.9252

Table 7 reports the evaluation metrics of Long-short strategy and Long-only strategy, respectively. AR stands for annualized return, AVOL stands for annualized volatility, MDD stands for max drawdown, DD stands for downside deviation, ASR stands for annualized Sharpe ratio, STR stands for sortino ratio, CR stands for calmar ratio. The sample period is from January 01, 2018 through June 30, 2021