The Basics of Convertible Bond Arbitrage. Track Record Length. The typical convertible arbitrage strategy involves a realization of spreads between convertible fixed income instruments and non-convertible instruments such as stocks. ... Exhibit 4: HFRI Convertible Arbitrage Index. However, once we take the standard hedge fund fees of 2% management and 20% Managers typically buy (or sometimes Convertible arbitrage is a type of equity long-short investing strategy often used by hedge funds.. An equity long-short strategy is an investing strategy which involves taking long positions in stocks that are expected to increase in value and short positions in stocks that are expected to decrease in value. Hennessee Convertible Arbitrage Index . Interest rate risk may or may not be hedged. Return/Risk Rating. Equity risk can be hedged by selling the appropriate ratio of stock underlying the convertible option. EDHEC ALTERNATIVE INDEX CONVERTIBLE ARBITRAGE Convertible Arbitrage Funds attempt to exploit anomalies in prices of corporate securities that are convertible into common stocks (convertible bonds, warrants and convertible preferred stocks). ASSETS UNDER MANAGEMENT TRACK RECORD LENGTH SHARPE RATIO. MISC & DISCLAIMERS. 1,000.00. Convertible bond arbitrage is typically a delta-neutral strategy in which the investor purchases a convertible bond and simultaneously sells short the underlying stock in an amount equivalent to the theoretical equity delta of the bond (calculated using a convertible bond pricing model). The Hennessee Convertible Arbitrage Index includes funds that engage in a type of arbitrage that involves the simultaneous purchase of a convertible bond and the short sale of the underlying stock. Please note that the calculation for each index as well as the number of funds included in the calculation is time-stamped. Sign Up For Our Blog Digest! Convertible Bond Arbitrage. 0% RETURN 0% RISK $0 MINIMUM EXECUTIVE SUMMARY. Most practitioners of convertible arbitrage are hedge funds, who are also the primary purchasers of convertible bonds. Find the latest Absolute Convertible Arbitrage (ARBIX) stock quote, history, news and other vital information to help you with your stock trading and investing. Convertible bond arbitrage is a strategy that seeks to exploit mispricings between a convertible bond and its underlying stock. Absolute Convertible Arbitrage Instl ARBIX Morningstar Analyst Rating ... Dow Jones Industrial Average, S&P 500, Nasdaq, and Morningstar Index (Market Barometer) quotes are real-time. The iShares Convertible Bond ETF seeks to track the investment results of an index composed of U.S. dollar-denominated convertible securities, specifically cash pay bonds, with outstanding issue sizes greater than $250 million. Similarly, CSFB/Tremont’s Convertible Arbitrage Index had excess returns of 3.23%, an alpha of 3.27%, and a beta of -0.003. Only hedge funds that have reported net returns for the particular month are included in the index calculation. The CSFB Tremont Convertible Bond Arbitrage Index is an asset-weighted index (rebalanced quarterly) of convertible bond arbitrage hedge funds beginning in 1994 whereas the HFRI Convertible Bond Arbitrage Index is equally weighted with a start date of January 1990. Assets Under Management. Stock Market Correlation. Barclay Convertible Arbitrage Index + + QEP. Convertible arbitrage funds build long positions of convertible bonds and then hedge the equity component of the bond by selling the underlying stock or options on that stock. that their Convertible Arbitrage Index had excess returns of 4.09%, an alpha of 4.11% and a beta of 0.01 over the same period.
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