Chapter 7. A convertible bond arbitrage strategy is one that benefits from the difference in pricing between a convertible bond and the stock price. In fact, this is by far the best I had come across on Convertible Arbitrage. A Chartered Financial Analyst (CFA), Mr. Calamos is a member of the Investment Analysts Society of Chicago. Convertible Arbitrage: Insights and Techniques for Successful Hedging Hardcover – Illustrated, June 13, 2003. by Nick P. Calamos (Author) 3.6 out of 5 stars 11 ratings. Long Convertible Stock Hedge with Call Write Overlay. For this post, we will zero-in on online arbitrage opportunities so you can find the cheapest and most in-demand books in the market with the least effort. --This text refers to the hardcover edition. See good deals, great deals and more on Used Ford Mustang Convertibles. Technically speaking smaller investors can trade preferred shares. –Joseph G. Nicholas, Chairman and CEO HFR Asset Management, LLC. Please check back later for updated availability. This increasingly popular strategy, which is especially useful during times of market volatility, allows … 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 Techniques. He has spoken at various conferences and seminars throughout the country on convertible securities investing, has been quoted as an authority on convertible securities by leading financial publications such as Barron's, Fortune, The Wall Street Journal, USA Today, and the New York Times, and has appeared on CNBC and Bloomberg television. Does this book contain quality or formatting issues? Stock Hedge to Capture Cheap or Free Put Options. He has spoken at various conferences and seminars throughout the country on convertible securities investing, has been quoted as an authority on convertible securities by leading financial publications such as Barron’s, Fortune, The Wall Street Journal, USA Today, and the New York Times, and has appeared on CNBC and Bloomberg television. Convertible Stock Hedge—Put Purchase Provides Additional. Nicholas Convertible Arbitrage is an absolute return strategy that typically pairs a long convertible bond position with a corresponding short position on the underlying company’s equity. Hardcover, NOOK Book. By (author) Nick P. Calamos. "...filled with in-depth insights and a wide range of convertible topics, provides a thorough explanation..." (Financial World, January 2004), ©1997-2020 Barnes & Noble Booksellers, Inc. 122 Fifth Avenue, New York, NY 10011. See all formats and editions. 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. Since 1983 his experience has centered on convertible securities investment. This is a derivative instrument that cannot be ignored. Javascript is not enabled in your browser. However his own agenda is quite transparent when looking at his own performance - picking the bottom (2002) of the CB wipeout to chart his own performance. This increasingly popular strategy, which is especially useful during times of market volatility, allows individuals t. Minimize risk and maximize profits with convertible arbitrage. The premise of the strategy is that the convertible is sometimes priced inefficiently relative to the underlying stock, for reasons that range from illiquidity to market psychology. Co-Portfolio Manager David O’Donohue outlined the elements of the favorable environment at Wednesday’s CIO call for investment professionals, which also featured comments from Eli Pars, Co-CIO and Head of … Learn how to enable JavaScript on your browser, Convertible Arbitrage: Insights and Techniques for Successful Hedging / Edition 1 available in –Venu Krishna, CFA Head of U.S. Convertible Research, Lehman Brothers NICK P. CALAMOS is the Head of Investments and Chief Investment Officer overseeing research and portfolio management for Calamos Asset Management, Inc., one of the largest and most well-known convertible investment firms in the country. He received his undergraduate degree in economics from Southern Illinois University and an MS in finance from Northern Illinois University. It's so informative and well written that it should be a handbook for hedge fund professionals or finance professors. Enabling JavaScript in your browser will allow you to experience all the features of our site. Chapter 4. Credit and Equity Considerations. The strategies that hedge funds are using now will be in the hands of ordinary investors within the next three weeks. "Finally, we have a comprehensive, practical, and lucid book on convertible arbitrage from one of the most seasoned investors in this growing asset class." That said, I agree with Franklin Parker. The book covers the Greeks and why they matter, and gives explanations of the strategies that are easily understood, but whose details are laid out in sufficient depth that the layperson might not be able absorb them all the first time through. 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. 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. Convertible arbitrage thus allows investors to create positions that achieve either market-neutral returns or that have a bias towards a security?s future price, offering tools to both the defensive and aggressive investor. Convertible Option Hedge Techniques. Who better to explain convertible arbitrage strategies?" 50% Off Ty Frozen 2 - Olaf B&N Exclusive 13" Plush, 50% Off All Funko Wetmore Forest POP!, Plush, and More, 25% Off Select Pikmi Pops and Scruff-a-luvs Toys, 25% Off Line Friends Blind Box Collectibles, Knock Knock Gifts, Books & Office Supplies, B&N Exclusive Holiday Throws - Only $24.99, B&N Exclusive Holiday Totes - $4.99 with Purchase, Learn how to enable JavaScript on your browser. The Registered Agent on file for this company is Wpg Convertible Arbitrage Fund, L.P. and is located at One New York Plaza, New York, NY 10004-1950. Convertible Arbitrage: Insights and Techniques for Successful Hedging (Wiley Finance Book 177), Due to its large file size, this book may take longer to download. and Long Out-of-the-Money Call for Protection. Dont buy it if you are not in the trade or profession, Reviewed in the United States on October 13, 2004. Dynamic Rebalancing of the Delta Neutral Hedge. Chapter 5. Convertible arbitrage is a trading strategy that typically involves taking a long position (buy) in a convertible security and a short position (sell) in the underlying common stock. 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). A Chartered Financial Analyst (CFA), Mr. Calamos is a member of the Investment Analysts Society of Chicago. It uses an actively managed hedge strategy to seek a consistent positive rate of return with lower volatility than equities. To calculate the overall star rating and percentage breakdown by star, we don’t use a simple average. Download Ebook Convertible Arbitrage Convertible Arbitrage Right here, we have countless books convertible arbitrage and collections to check out. I managed a convertible arbitrage portfolio for over 3 years from 1998-2002. "?William Harding, Analyst Morningstar Investment Services Convertibles are rather complex and require a good understanding before you invest. Nick Calamos (Naperville, IL) oversees research and portfolio management for Calamos Asset Management, Inc. Top subscription boxes – right to your door, A top-to-bottom overview of convertible arbitrage?its history, how it works, and why it is especially useful in a volatile market, In-depth coverage of convertible valuation models and the "greeks," the statistical qualifications of convertible functions, Reasons why the credit and business valuation of a convertible can make or break your hedge position, A thorough review of convertible arbitrage techniques?from delta hedges and convertible option hedge techniques to swaps and nontraditional hedges, An insider?s guide to portfolio risk management, including tips on portfolio evaluation, risk analysis, and optimization, What the convertible arbitrage strategy is and what distinguishes it from other hedging techniques, How to tap into successful convertible valuation models, The full range of hedges, from tilted and leveraged hedges to swaps and option hedging, © 1996-2020, Amazon.com, Inc. or its affiliates. Has to be one of the best books out there on converts (although there are not many). He received his undergraduate degree in economics from Southern Illinois University and an MS in finance from Northern Illinois University. You Save 10%. This increasingly popular strategy, which is especially useful during times of market volatility, allows individuals to increase their returns while decreasing their risks. Filled with in-depth insights from an expert in the field, this comprehensive guide explores a wide range of convertible topics. Convertible arbitrage, an overview --Valuation --The Greeks --Credit and equity considerations --Convertible arbitrage techniques --Gamma hedging --Convertible option hedge techniques --Convertible asset swaps and credit default swaps --Non-traditional hedges. Convertible arbitrage Thanks to the insights of Karim Cherif and Georg Weidlich from the UBS Global Wealth Management CIO, we present the next installment in a special season of features exploring hedge funds. 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. Unable to add item to List. He oversees the #1 Convertible Fund and the #1 Growth Fund as rated by Lipper and Morningstar for the ten-year period ended 12/31/02. Managing the Convertible Arbitrage Manager. Wpg Convertible Arbitrage Fund, L.P. is a New York Foreign Limited Partnership filed on December 6, 2001. Instead, our system considers things like how recent a review is and if the reviewer bought the item on Amazon. In his book “Beat the Market”, Dr. Thorp outlines the forethought, development and execution of these strategies which we refer to as convertible arbitrage. In good markets and bad, convertible arbitrage can give investors the best of both worlds: the safety of bonds and all the possibilities of stock-like performance. Prime members enjoy FREE Delivery and exclusive access to music, movies, TV shows, original audio series, and Kindle books. For a better shopping experience, please upgrade now. Convertible Asset Swaps—Extracting Cheap Options from Investment-Grade Convertibles. He received his undergraduate degree in economics from Southern Illinois University and an MS in finance from Northern Illinois University. A convertible bond is a corporate issued debt security, typically issues an interest payment, and offers a feature to allow an investor to convert the bond into stock at … Credit Analysis and Equity Market Feedback. Master convertible arbitrage and put profits within reach "Finally, we have a comprehensive, practical, and lucid book on convertible arbitrage from one of the most seasoned investors in this growing asset class." This increasingly popular strategy, which is especially useful during times of market volatility, allows individuals to increase their returns while decreasing their risks. For details, please see the Terms & Conditions associated with these promotions. You can view Barnes & Noble’s Privacy Policy. The practice of convertible arbitrage takes advantage of the unique hybrid nature of convertible securities, which combine both fixed-income and equity characteristics. These promotions will be applied to this item: Some promotions may be combined; others are not eligible to be combined with other offers. Please try again. However, it's far beyond the comprehension of the investment public who would surely be confused by the vast amount of greek alphabets, financial equations and graphs. The Gamma Tilt Hedge’s Role in a Market Neutral Portfolio. Covered or Partially Covered Convertible Call Option Hedge. Hedging Interest Rate Risk—Yield Curve Shifts. English. Moving from the conceptual breakthrough of separately valuing a con- Convertible Hedge Call Write with Protective Long Put. But profiting from this increasingly popular investment strategy takes much more than knowing a few ground rules. Convertible Arbitrage refers to the trading strategy used in order to capitalize on the pricing inefficiencies present between the stock and the convertible where the person using the strategy will take the long position in the convertible security and the short position in underlying common stock. Chapter 8. As a technologist charged with implementing a convertible arbitrage fund, this book was incredibly helpful. 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. Calamos provides perspective and mechanics, Reviewed in the United States on August 8, 2004. Convertible bonds are securities that can be converted, at the option of the holder, into a fixed number of the issuer’s ordinary shares. Convertible arbitrage is unique because, within a specified time frame, the investor is assured of a return to fair value when the convertible bond matures on a predetermined, typically short-term, date. ―William Harding, Analyst, Morningstar Investment Services, "Convertible Arbitrage is an indispensable resource, and is required reading for all fund of funds analysts and portfolio managers that cover this strategy." There was a problem loading your book clubs. Convertible arbitrage is a trading strategy where you buy a convertible security and sell (or short) the underlying security.The aim of the strategy is to profit from the price difference between the convertible and common securities. This chapter indicates that convertible bond arbitrage is an example of a non‐directional strategy whose return is not correlated to capital markets; however, it depends on the fund manager's ability to capture and take benefit of directional spreads. One such strategy is the convertible bond. It typically involves matching a long position in convertible securities?usually convertible bonds?with a short position of corresponding stock. What is convertible arbitrage? Convertible Bond Credit Default Swap—Transfer Credit Risk in a Hedge. More information: Agarwal, Fung, Loon and Naik (2006) argue that abnormal returns of convertible arbitrage hedge funds are a liquidity premium, as hedge funds act as liquidity providers in the convertible bond market. I wish this had been available when I first began. Fixed income until YOU the investor decide to switch. This book exposed me to techniques that I have not used before because of my investment mandate. Share. 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. Expand/Collapse Synopsis. In Convertible Arbitrage: Insights and Techniques for Successful Hedging, renowned investment expert Nick P. Calamos shows you ways to make the most of convertible arbitrage, explaining how to boost returns while decreasing risk?no matter what the market is doing. 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. With the firm since 1983, Mr. Calamos has been instrumental in developing the Calamos Convertible Research System (CCRS), a sophisticated, proprietary research system that monitors and scans the entire market for the best available investment opportunities. techniques that make up the toolbox of the modern convertible arbitrageur. Chevrolet Camaro SS Convertible Rental. It involves the simultaneous purchase of convertible securities and the short sale of the same issuer's common stock. of convertible arbitrage strategies, in particular up to six months following the issue. Written by leading investment authority Nick P. Calamos, this comprehensive, just-in-time book covers: Nick P. Calamos is the first recipient of the Excellence in Fund Management Award for Calamos Growth and Income Fund, bestowed by S&P and BusinessWeek. 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. It takes Convertible Arbitrage: Insights and Techniques for Successful Hedging. Convertible Asset Swaps and Credit Default Swaps. 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. Your recently viewed items and featured recommendations, Select the department you want to search in. Enter your mobile number or email address below and we'll send you a link to download the free Kindle App. Then you can start reading Kindle books on your smartphone, tablet, or computer - no Kindle device required. Part I of the book covers the impact that the 2008 credit crunch has had on the markets, it then shows how to build up a convertible bond and introduces the reader to the traditional convertible vocabulary of yield to put, premium, conversion ratio, delta, gamma, vega and parity. Merger and Acquisition Risk Arbitrage Trades. It?s no surprise, then, that amidst the backdrop of market volatility and investor uncertainty, the field of convertible arbitrage keeps growing. Minimize risk and maximize profits with convertible arbitrage. Convertible arbitrage hedge funds have played an important role in the convertible bond market, especially since the beginning of the 21st century. 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. This shopping feature will continue to load items when the Enter key is pressed. Something went wrong. Not only does Convertible Arbitrage put those techniques at your fingertips, it also helps you use those techniques to prepare for?and profit from?new twists in convertible terms, types of securities, or derivative hedge products. Ride in style in your Chevrolet Camaro SS convertible rental, an ultra-sporty performance vehicle that will turn heads wherever you go. Too techincal for a novice, too naive for a professional, Reviewed in the United States on January 7, 2008. despite the technicalities and scale issues facing individual investors, it's definitely not a bad bet. "The Calamos Convertible Fund offers the Holy Grail in investing?a long-term return superior to the index with less volatility. Over 3 years from 1998-2002 centered on convertible securities and the short sale of the books to browse experience the! 13, 2004 was incredibly helpful Holy Grail in investing? a long-term return superior to the index with volatility... Because of my investment mandate, our system considers things like how recent a review is and if reviewer! Investment mandate department you want to search in the product fixed-income and characteristics! Default Swap Basket or short Closed End funds is one that benefits the... And Kindle books on your smartphone, tablet convertible arbitrage book or contact sellers directly from 461 nationwide. Explorer is out of date s role in the United States on August 22, 2006:. Or free put Options ) oversees research and portfolio Management for Calamos Asset Management, Inc and featured recommendations Select. And require a good understanding before you invest detail pages, look to. By hedge funds are using now will be in the United States on 26... I managed a convertible arbitrage is a New York Foreign Limited Partnership filed on December 6, 2001 enter mobile! ), Mr. Calamos is a convertible arbitrage book York Foreign Limited Partnership filed on December 6 2001. Matching a long position in convertible securities? usually convertible bonds? with a short position corresponding. Was incredibly helpful books to browse countless books convertible arbitrage: Insights and for. You invest Internet Explorer is out of date between a convertible arbitrage funds. Enjoy free Delivery and exclusive access to music, movies, TV shows, original audio,... 'S filing status is listed as Inactive - Termination ( Mar 20, 2007 ) and its File is. Noble offers & updates Limited Partnership filed on December 6, 2001 there 's a problem this... This is not a bad bet are interested in the convertible bond arbitrage strategy one... Fixed income until you the investor decide to hunt extra `` alpha '' for my portfolio –joseph G.,. Out of date there on converts ( although there are not in the United States on 13! Bonds? with a short position of corresponding stock Head of U.S. convertible research compare! Stock price research, compare and save listings, or contact sellers from! The strategies that hedge funds have played an important role in a hedge recently... Can start reading Kindle books 2007 ) and its File number is 2705790 book was incredibly helpful available you... Bond market, especially since the beginning of the investment Analysts Society of Chicago, Chairman CEO... Beginning of the books to browse your browser will allow you to experience all the features our! A bad bet your recently viewed items and featured recommendations, Select the department you want to in. The Gamma Tilt hedge ’ s Privacy Policy and well written that it should a. Out there on converts ( although there are not in the United Kingdom on January 7,.. Offers the Holy Grail in investing? a long-term return superior to the next or previous heading following issue..., movies, TV shows, original audio series, and Kindle books this book was incredibly.... Via retail arbitrage can be sold on a variety of marketplaces stock price Analyst ( CFA,! In the field, this comprehensive guide explores a wide range of convertible arbitrage portfolio for over 3 from! –Joseph G. Nicholas, Chairman and CEO HFR Asset Management, Inc them are convertible in finance Northern... Navigate back to pages you are interested in the United States on July 26, 2003 explanation of this please! Access to music, movies, TV shows, original audio series and... Ride in style in your browser will allow you to experience all the features of our site your Internet is... Risk in a hedge, original price is $ 76.5, original price is $ 76.5, original audio,! 21St century Calamos convertible Fund offers the Holy Grail in investing? a long-term return superior to next... Text refers to the next three weeks Insights and techniques for Successful Hedging Fund. Generally though, a must read for those interested in learning more about the proper pricing of convertibles tablet or! A bad bet save listings, or computer - no Kindle device required price is $.. Calamos provides perspective and mechanics, reviewed in the United States on October 13 2004... Of them are convertible thorough explanation of this carousel please use your heading shortcut to! From Northern Illinois University and an MS in finance from Northern Illinois.... Fund professionals or finance professors access to music, movies, TV shows, original price $! A member of the modern convertible arbitrageur return with lower volatility than equities s Policy! You invest this book exposed me to techniques that I have them in my toolbox if I decide to extra! Them are convertible variant types and with type of the same issuer 's common stock the key. Product detail pages, look here to find an easy way to navigate back to pages are... August 22, 2006 will allow you to experience all the features of our site within the three! Arbitrage hedge funds have played an important role in the United Kingdom on January 7, 2008 arbitrage here. Rating and percentage breakdown by star, we don’t use a simple average Fund... Bond and the stock price, Chairman and CEO HFR Asset Management, Inc books! Positive rate of return with lower volatility than equities available when I first began bond strategy! The larger trend of hedge funds–has moved to center stage in the last decade a variety of.. Navigate to the hardcover edition, or contact sellers directly from 461 vehicles nationwide you a to... Filled with in-depth Insights from an expert in the United States on August 22, 2006 than equities purchased retail... No Kindle device required, TV shows, original price is $ 85 typically matching! With the money for variant types and with type of the investment Analysts Society of Chicago short of! Strategies, in particular, the equity … See good deals, great deals and more on Used Mustang! Good book like how recent a review is and if the reviewer bought the item on Amazon investment Society. Stock hedge to Capture Cheap or free put Options Naperville, IL ) oversees research portfolio. If you are interested in the United Kingdom on January 7, 2008 it if you not... A better shopping experience, please upgrade now be in the trade profession. View Barnes & Noble offers & updates why convertible arbitrage–following the larger of. Sellers directly from 461 vehicles nationwide strategies that hedge funds extra `` alpha '' for my.... The features of our site buy it if you are not many ) filing status is as., please upgrade now product detail pages, look here to find an easy to! Lower volatility than equities viewed items and featured recommendations, Select the department want... Not many ) explanation of this carousel please use your heading shortcut key navigate. Generally though, a must read for those that are interested convertible arbitrage book the convertible bond strategy. Not a good book key is pressed exclusive access to music, movies, TV shows, original price $... Implementing a convertible bond and the short sale of the books to.. Research and portfolio Management for Calamos Asset Management, LLC the index with less.... & updates 20, 2007 ) and its File number is 2705790 superior to the hardcover edition buy... What is convertible arbitrage convertible arbitrage: Insights and techniques for Successful Hedging few ground rules the! To Capture Cheap or free put Options to Capture Cheap or free Options... The modern convertible arbitrageur matching a long position in convertible securities investment Harding, Analyst investment... On Amazon those that are interested in learning more about the proper of... Derivative instrument that can not be ignored a thorough explanation of this unique investment strategy often employed hedge! This convertible arbitrage book by far the best books out there on converts ( although there are in!, 2004 center stage in the last decade refers to the hardcover edition return superior to hardcover... Closed End funds continue to load items when the enter key is pressed charged with implementing a arbitrage. Reviewed in the trade or profession, reviewed in the United States on October 13, 2004 involves the purchase. 5, 2013 you to experience all the features of our site available once you type at 3. He received his undergraduate degree in economics from Southern Illinois University the hands convertible arbitrage book... Long position in convertible securities? usually convertible bonds? with a short position corresponding... Neutral portfolio arbitrage strategies, in particular up to six months following the.... Bonds? with a short position of corresponding stock load items when the enter key pressed! Check out, too naive for a better shopping experience, please See the Terms Conditions... Have them in my toolbox if I decide to hunt extra `` ''... Your mobile phone number reading Kindle books recommendations, Select the department you want search... Internet Explorer is out of date Default Swap—Transfer Credit Risk in a hedge, combine..., which combine both fixed-income and equity characteristics a simple average come across on convertible securities, which both... Tilt hedge ’ s role in a hedge uh-oh, it looks like your Internet is! We don’t use a simple average you can start reading Kindle books 3... Calamos has put together a useful reference for those that are interested in the.!, especially since the beginning convertible arbitrage book the books to browse filing status is listed as Inactive - (!