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Convertible Arbitrage Related Scholarly Compositions
See also:
Convertible Arbitrage
Related News,
Convertible Arbitrage
Related Books,
or
Convertible Arbitrage Home Page.
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Convertible Bond Arbitrage
by Mark Hutchinson & Liam Gallagher
June, 2004
Abstract
Convertible bond arbitrageurs attempt to exploit inefficiencies
in the pricing of convertible bonds by purchasing the
undervalued security and hedging market and credit risk using
the underlying share and credit derivatives. Existing literature
indicates that this strategy generates positive abnormal risk
adjusted returns. Due to limitations in hedge fund reporting,
performance measurement to date has been limited to studies of
monthly returns...
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Hedge Funds Investing: A
Quantitative Look Inside the Black Box
by François-Serge Lhabitant
August 2001
Abstract
There is an increasing amount of evidence that shows the
benefits of considering hedge funds as an asset class at the
strategic asset allocation level. The investors’ greatest
challenge remains the identification of desirable investment
vehicles, since very little formal quantitative analysis of
hedge funds has been done in the past. In this paper, we suggest
an innovative approach to hedge fund investing, which is valid
at the individual fund level as well as at the aggregate
portfolio level (e.g. portfolio of hedge funds)...
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Inserting Convertible Arbitrage
Funds in a Classical Portfolio: An Empirical Assessment
by Daniel P.J. Capocci
HEC - Université de Liège
Abstract
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...
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On the Performance of Hedge Funds
by B. Liang
Weatherhead School of Management
Case Western Reserve University
May, 1998
Abstract
This paper investigates hedge fund performance and risk. The
empirical evidence indicates that hedge funds differ
substantially from traditional investment vehicles such as
mutual funds. The funds with watermarks significantly outperform
the funds without watermarks. The average hedge fund returns are
related positively to incentive fees, the size of the fund, and
the lockup period. Hedge funds follow dynamic trading strategies
and have low systematic risk. There are low correlations among
different strategies. Compared with mutual funds, hedge funds
offer better risk-return trade-offs: they have higher Sharpe
ratios, lower mrket risks, and higher abnormal returns. In the
period of January 1994 to December 1996, most hedge funds
provide positive abnormal returns. Overall, hedge fund
strategies dominate mutual fund strategies, hence hedge funds
provide a more efficient investment opportunity set for
investors.
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Risk in Hedge Fund Strategies: Case of Convertible Arbitrage
by Vikas
Agarwal, William H. Fung, Yee Cheng Loon, & Narayan Y. Naik
Georgia State University & London Business School
September 16, 2004
Abstract
Using data on Japanese and US convertible bonds and underlying
stocks, we analyze the risk-return characteristics of
convertible arbitrage funds. We hypothesize that there are three
primitive trading strategies that explain convertible arbitrage
funds’ returns – positive carry, volatility arbitrage, and
credit arbitrage. We refer to these as asset-based style (“ABS”)
factors...
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Back to Scholarly Compositions
See also:
Convertible Arbitrage Related
News,
Convertible Arbitrage Related
Books,
or
Convertible Arbitrage Home Page.
| HEDGE FUND RISK AND OTHER
DISCLOSURES |
Hedge funds, including fund of funds (“Hedge
Funds”), are unregistered private investment partnerships, funds or
pools that may invest and trade in many different markets,
strategies and instruments (including securities, non-securities and
derivatives) and are NOT subject to the same regulatory requirements
as mutual funds, including mutual fund requirements to provide
certain periodic and standardized pricing and valuation information
to investors. There are substantial risks in investing in Hedge
Funds. Persons interested in investing in Hedge Funds should
carefully note the following:
- Hedge Funds represent speculative investments and involve a
high degree of risk. An investor could lose all or a substantial
portion of his/her investment. Investors must have the financial
ability, sophistication/experience and willingness to bear the
risks of an investment in a Hedge Fund.
- An investment in a Hedge Fund should be discretionary capital
set aside strictly for speculative purposes.
- An investment in a Hedge Fund is not suitable or desirable for
all investors. Only qualified eligible investors may invest in
Hedge Funds.
- Hedge Fund offering documents are not reviewed or approved by
federal or state regulators
- Hedge Funds may be leveraged (including highly leveraged) and
a Hedge Fund’s performance may be volatile
- An investment in a Hedge Fund may be illiquid and there may be
significant restrictions on transferring interests in a Hedge
Fund. There is no secondary market for an investor’s investment in
a Hedge Fund and none is expected to develop.
- A Hedge Fund may have little or no operating history or
performance and may use hypothetical or pro forma performance
which may not reflect actual trading done by the manager or
advisor and should be reviewed carefully. Investors should not
place undue reliance on hypothetical or pro forma performance.
- A Hedge Fund’s manager or advisor has total trading authority
over the Hedge Fund.
- A Hedge Fund may use a single advisor or employ a single
strategy, which could mean a lack of diversification and higher
risk.
- A Hedge Fund (for example, a fund of funds) and its managers
or advisors may rely on the trading expertise and experience of
third-party managers or advisors, the identity of which may not be
disclosed to investors
- A Hedge Fund may involve a complex tax structure, which should
be reviewed carefully.
- A Hedge Fund may involve structures or strategies that may
cause delays in important tax information being sent to investors.
- A Hedge Fund may provide no transparency regarding its
underlying investments (including sub-funds in a fund of funds
structure) to investors. If this is the case, there will be no way
for an investor to monitor the specific investments made by the
Hedge Fund or, in a fund of funds structure, to know whether the
sub-fund investments are consistent with the Hedge Fund’s
investment strategy or risk levels.
- A Hedge Fund may execute a substantial portion of trades on
foreign exchanges or over-the-counter markets, which could mean
higher risk.
- A Hedge Fund’s fees and expenses-which may be substantial
regardless of any positive return- will offset the Hedge Fund’s
trading profits. In a fund of funds or similar structure, fees are
generally charged at the fund as well as the sub-fund levels;
therefore fees charged investors will be higher that those charged
if the investor invested directly in the sub-fund(s).
- Hedge Funds are not required to provide periodic pricing or
valuation information to investors.
- Hedge Funds and their managers/advisors may be subject to
various conflicts of interest.
The above general
summary is not a complete list of the risks and other important
disclosures involved in investing in Hedge Funds and, with respect
to any particular Hedge Fund, is subject to the more complete and
specific disclosures contained in such Hedge Fund’s respective
offering documents. Before making any investment, an investor should
thoroughly review a Hedge Fund’s offering documents with the
investor’s financial, legal and tax advisor to determine whether an
investment in the Hedge Fund is suitable for the investor in light
of the investor’s investment objectives, financial circumstances and
tax situation.
All performance information is believed
to be net of applicable fees unless otherwise specifically noted. No
representation is made that any fund will or is likely to achieve
its objectives or that any investor will or is likely to achieve
results comparable to those shown or will make any profit at all or
will be able to avoid incurring substantial losses. Past performance
is not necessarily indicative, and is no guarantee, of future
results.
The information on the Site is intended for
informational, educational and research purposes only. Nothing on
this Site is intended to be, nor should it be construed or used as,
financial, legal, tax or investment advice, be an opinion of the
appropriateness or suitability of an investment, or intended to be
an offer, or the solicitation of any offer, to buy or sell any
security or an endorsement or inducement to invest with any fund or
fund manager. No such offer or solicitation may be made prior to the
delivery of appropriate offering documents to qualified investors.
Before making any investment, you should thoroughly review the
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The information on this Site is as of the date(s) indicated,
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more complete disclosures and terms and conditions contained in a
particular fund's offering documents, which may be obtained directly
from the fund. Certain of the information, including investment
returns, valuations, fund targets and strategies, has been supplied
by the funds or their agents, and other third parties, and although
believed to be reliable, has not been independently verified and its
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Any indices and other financial benchmarks
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reflect reinvestment of income and dividends and do not reflect the
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volatility and other material characteristics that may differ from a
particular hedge fund. For example, a hedge fund may typically hold
substantially fewer securities than are contained in an index.
Indices also may contain securities or types of securities that are
not comparable to those traded by a hedge fund. Therefore, a hedge
fund’s performance may differ substantially from the performance of
an index. Because of these differences, indexes should not be relied
upon as an accurate measure of comparison.
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