Rally keeps going in convertible arbitrage


The January rally in convertibles generally continued into February, with the median return in the space being one of the best performers among all strategies on the month.

Aviva Investors Convertible Bond Arbitrage gained 3.79%, bringing its gain for the year to 9.28%, while Cheyne Leverage was up 5.5% on the month. Acropole Convertible Arbitrage gained 1.42% for a YTD return of 4.20%.

INTL Consilium Convertible Arbitrage added 1.20% for a gain so far this year of 2.52%, while JB Convertible Bond gained 0.93% for a YTD return of 6.50%.

CQS was flattish at 0.11% after a big month