Performance

Convertible strength helps Highbridge

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September was a solid month for multi-strategy groups, many of whom saw better performance in their convertible-arb portfolio that lifted returns in a big way. That's especially good news considering that many multi-strategy funds have lagged the major benchmarks so far in 2003 posting, on average, only single-digit returns year-to-date.

The convertibles rally, fuelled in part by lowering U.S. interest rates, was particularly evident at Highbridge Capital, where the multi-strategy portfolio overseen by Glen Dubin and Henry Swieca pulled in monthly returns of 1.2% for September. A pick-up in volatility and implied volatility in convertible markets also helped throughout