Convertible Arbitrage

Convertible Arbitrage

Author: Nick P. Calamos

Publisher: John Wiley & Sons

Published: 2011-01-19

Total Pages: 306

ISBN-13: 1118045661

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Minimize risk and maximize profits with convertible arbitrage Convertible arbitrage involves purchasing a portfolio of convertible securities-generally convertible bonds-and hedging a portion of the equity risk by selling short the underlying common stock. This increasingly popular strategy, which is especially useful during times of market volatility, allows individuals to increase their returns while decreasing their risks. Convertible Arbitrage offers a thorough explanation of this unique investment strategy. Filled with in-depth insights from an expert in the field, this comprehensive guide explores a wide range of convertible topics. Readers will be introduced to a variety of models for convertible analysis, "the Greeks," as well as the full range of hedges, including titled and leveraged hedges, as well as swaps, nontraditional hedges, and option hedging. They will also gain a firm understanding of alternative convertible structures, the use of foreign convertibles in hedging, risk management at the portfolio level, and trading and hedging risks. Convertible Arbitrage eliminates any confusion by clearly differentiating convertible arbitrage strategy from other hedging techniques such as long-short equity, merger and acquisition arbitrage, and fixed-income arbitrage. Nick Calamos (Naperville, IL) oversees research and portfolio management for Calamos Asset Management, Inc. Since 1983 his experience has centered on convertible securities investment. He received his undergraduate degree in economics from Southern Illinois University and an MS in finance from Northern Illinois University.


Convertible Arbitrage

Convertible Arbitrage

Author: Nick P. Calamos

Publisher: John Wiley & Sons

Published: 2003-07-24

Total Pages: 310

ISBN-13: 0471423610

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"Convertible Arbitrage" ist ein praxisorientierter und umfassender Ratgeber, der sich mit einer interessanten Investmentstrategie auseinandersetzt - der 'Convertible Arbitrage'. Bei dieser Strategie geht es darum, ein Portfolio aus wandelbaren Wertpapieren anzulegen - in der Regel Wandelanleihen -, wobei das Risiko teilweise dadurch abgesichert wird, dass die zugrundeliegende Stammaktie leerverkauft wird. Diese Strategie erfreut sich wachsender Beliebtheit und ist insbesondere in Zeiten hoher Marktvolatilität von Nutzen, denn sie ermöglicht Finanzexperten eine Steigerung der Rendite bei einer Verringerung des Risikos. "Convertible Arbitrage" erläutert diese einzigartige Investmentstrategie fundiert und detailliert. Mit einer Fülle von Experten-Informationen. Autor Nick Calamos ist ein anerkannter Fachmann auf diesem Gebiet. Er ist regelmäßig auf CNBC zu sehen und wird häufig von Fachzeitschriften interviewt.


Arbitrage

Arbitrage

Author: Fouad Sabry

Publisher: One Billion Knowledgeable

Published: 2024-02-02

Total Pages: 320

ISBN-13:

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What is Arbitrage In the fields of economics and finance, arbitrage refers to the technique of taking advantage of a discrepancy in pricing in two or more markets by striking a combination of matching agreements in order to capitalize on the difference. The profit results from the difference between the market prices at which the unit is traded. A transaction is considered to be an arbitrage when it is employed by academics. An arbitrage is a transaction that does not include a negative cash flow at any probabilistic or temporal state and a positive cash flow in at least one state. To put it another way, it is the potential of a risk-free profit after consideration of transaction costs. When there is the prospect of quickly purchasing something at a low price and then selling it at a higher price, for instance, this is an example of an arbitrage opportunity. How you will benefit (I) Insights, and validations about the following topics: Chapter 1: Arbitrage Chapter 2: Derivative (finance) Chapter 3: Long-Term Capital Management Chapter 4: Bond (finance) Chapter 5: Futures contract Chapter 6: Equity derivative Chapter 7: Hedge (finance) Chapter 8: Convertible bond Chapter 9: Fixed income Chapter 10: Rational pricing Chapter 11: Convertible security Chapter 12: Corporate bond Chapter 13: Risk arbitrage Chapter 14: Convertible arbitrage Chapter 15: Fixed income arbitrage Chapter 16: Dual-listed company Chapter 17: Limits to arbitrage Chapter 18: Big Mac Index Chapter 19: Reverse convertible securities Chapter 20: Replicating portfolio Chapter 21: Convergence trade (II) Answering the public top questions about arbitrage. (III) Real world examples for the usage of arbitrage in many fields. Who this book is for Professionals, undergraduate and graduate students, enthusiasts, hobbyists, and those who want to go beyond basic knowledge or information for any kind of Arbitrage.


Short Selling Activities and Convertible Bond Arbitrage

Short Selling Activities and Convertible Bond Arbitrage

Author: Sebastian P. Werner

Publisher: Springer Science & Business Media

Published: 2010-12-01

Total Pages: 269

ISBN-13: 3834960039

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Sebastian Werner examines aggregate short sales and convertible bond arbitrage, which is a typical hedge fund strategy that involves a significant short position in the underlying stock of a long convertible bond position for hedging purposes. He provides insightful and new observations of the significant difference in the trading pattern, information content and resulting impact on stock returns of arbitrage- versus valuation-based short selling activities.


Inserting Convertible Arbitrage Funds in a Classical Portfolio

Inserting Convertible Arbitrage Funds in a Classical Portfolio

Author: Daniel P.J. Capocci

Publisher:

Published: 2005

Total Pages:

ISBN-13:

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This study precisely analyses how the insertion of convertible arbitrage funds into a classical portfolio of stocks and bonds impacts the distribution of returns. We demonstrate that although convertible arbitrage funds are attractive in mean-variance terms, results are more controversial when skewness and kurtosis are taken into account. The efficient frontier analysis will overestimate the benefits from including convertible arbitrage funds in an investment portfolio because it does not take into account the lower skewness and the higher kurtosis that is obtained in most cases when convertible arbitrage funds are included. We also set out that portfolios of two funds allow the investor to attain a better efficient frontier compared to single funds or to portfolios containing more than two funds. Finally, we analysed the proportion of hedge funds to allocate to the portfolio. Our analysis indicates that a high allocation of the portfolio to convertible arbitrage funds allows the investor to obtain interesting returns both in terms of mean-variance analysis and in terms of skewness and kurtosis.


Convertible Arbitrage Complete Self-Assessment Guide

Convertible Arbitrage Complete Self-Assessment Guide

Author: Gerardus Blokdyk

Publisher: Createspace Independent Publishing Platform

Published: 2017-07-26

Total Pages: 120

ISBN-13: 9781973946267

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Which customers cant participate in our Convertible Arbitrage domain because they lack skills, wealth, or convenient access to existing solutions? Think about the people you identified for your Convertible Arbitrage project and the project responsibilities you would assign to them. what kind of training do you think they would need to perform these responsibilities effectively? How do we ensure that implementations of Convertible Arbitrage products are done in a way that ensures safety? Among the Convertible Arbitrage product and service cost to be estimated, which is considered hardest to estimate? How do you determine the key elements that affect Convertible Arbitrage workforce satisfaction? how are these elements determined for different workforce groups and segments? Defining, designing, creating, and implementing a process to solve a business challenge or meet a business objective is the most valuable role... In EVERY company, organization and department. Unless you are talking a one-time, single-use project within a business, there should be a process. Whether that process is managed and implemented by humans, AI, or a combination of the two, it needs to be designed by someone with a complex enough perspective to ask the right questions. Someone capable of asking the right questions and step back and say, 'What are we really trying to accomplish here? And is there a different way to look at it?' For more than twenty years, The Art of Service's Self-Assessments empower people who can do just that - whether their title is marketer, entrepreneur, manager, salesperson, consultant, business process manager, executive assistant, IT Manager, CxO etc... - they are the people who rule the future. They are people who watch the process as it happens, and ask the right questions to make the process work better. This book is for managers, advisors, consultants, specialists, professionals and anyone interested in Convertible Arbitrage assessment. All the tools you need to an in-depth Convertible Arbitrage Self-Assessment. Featuring 616 new and updated case-based questions, organized into seven core areas of process design, this Self-Assessment will help you identify areas in which Convertible Arbitrage improvements can be made. In using the questions you will be better able to: - diagnose Convertible Arbitrage projects, initiatives, organizations, businesses and processes using accepted diagnostic standards and practices - implement evidence-based best practice strategies aligned with overall goals - integrate recent advances in Convertible Arbitrage and process design strategies into practice according to best practice guidelines Using a Self-Assessment tool known as the Convertible Arbitrage Scorecard, you will develop a clear picture of which Convertible Arbitrage areas need attention. Included with your purchase of the book is the Convertible Arbitrage Self-Assessment downloadable resource, which contains all questions and Self-Assessment areas of this book in a ready to use Excel dashboard, including the self-assessment, graphic insights, and project planning automation - all with examples to get you started with the assessment right away. Access instructions can be found in the book. You are free to use the Self-Assessment contents in your presentations and materials for customers without asking us - we are here to help.


Risk and Return in Convertible Arbitrage

Risk and Return in Convertible Arbitrage

Author: Vikas Agarwal

Publisher:

Published: 2011

Total Pages: 57

ISBN-13:

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In this paper, we identify and document the empirical characteristics of the key drivers of convertible arbitrage as a strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy-and-hedge strategy involving taking a long position in convertible bonds (ldquo;CBsrdquo;) while hedging the equity risk alone explains a substantial amount of these funds' return dynamics. In addition, we highlight the importance of non-price variables such as extreme market-wide events and the supply of CBs on performance. Out-of-sample tests provide corroborative evidence on our model's predictions. At a more micro level, larger funds appear to be less dependent on directional exposure to CBs and more active in shorting stocks to hedge their exposure than smaller funds. They are also more vulnerable to supply shocks in the CB market. These findings are consistent with economies of scale that large funds enjoy in accessing the stock loan market. However, the friction involved in adjusting the stock of risk capital managed by a large fund can negatively impact performance when the supply of CBs declines. Taken together, our findings are consistent with convertible arbitrageurs collectively being rewarded for playing an intermediation role of funding CB issuers whilst distributing part of the equity risk of CBs to the equity market.


The Long and the Short of Convertible Arbitrage

The Long and the Short of Convertible Arbitrage

Author: Mats van Marle

Publisher:

Published: 2017

Total Pages: 39

ISBN-13:

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We find that the average holding period of newly issued convertible bonds by convertible arbitrage hedge funds is approximately 11.6 months, which on average represents only 14% of the bonds' time to maturity. The relatively short holding periods highlight that hedge funds' motivations for holding convertible bonds are distinct from firms' traditional reasons for issuing them. The short holding periods are in line with convertible arbitrage hedge funds making convertible issues a low cost financing alternative for firms. We show that both issue and hedge fund characteristics affect holding periods.