Convertible Arbitrage: Insights and Techniques for Successful Hedging

As a technologist charged with implementing a convertible arbitrage fund, this book was incredibly helpful. By reading it, I learned enough about the strategy and how it works to have intelligent conversations with portfolio managers and analysts and understand what needs to be done to make it work. 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. The books doesn't, and really can't, get into issues relating to data providers, prime brokers, and other execution-related topics. Yet it does cover almost every permutation of the strategy that you might find currently being implemented by a CA fund. Overall, I think that this book provides an excellent grounding in the strategy, is a very engaging read, and will be a good reference as your understanding of the subject grows. In closing, let me say this: The chapter on the Greeks alone justifies the purchase of this book. I have received questions from people wanting to know how I gained such depth of understanding in convertible/capital structure arbitrage so quickly, and I do not hesitate to hand them this book. (Well, maybe there is some hesitation.)

I managed a convertible arbitrage portfolio for over 3 years from 1998-2002. When I began managing, the information found in this one book, had to be gathered from many different resources, if it was available at all. I wish this had been available when I first began. This book exposed me to techniques that I have not used before because of my investment mandate. Now I have them in my toolbox if I decide to hunt extra "alpha" for my portfolio. Some of the techniques are only applicable by arbitrageurs that are in foreign markets. Even these are creative and inspire great avenues for further thought. It was while studying these that the thought occurred to me that the book might not be useable by the individual investor unless they are highly unique. There are elements of this book that have the air of "promotion" to it. The first chapter cites the advantages of this technique in concert with other management styles. The returns and other statistics span from publication date back to 1995. 1994 was a profoundly difficult year for convertible arb managers and could possibly weakened Calamos' assertions (to be fair he acknowledges as much at the end of the book). Convertible arbitrage will have difficult comparisons when it operates in an environment of low volatility and rising rates unless all risk (and return) are hedged away.

This is by far one of the best books on hedge fund strategies. It's very practical, but also provides enough technical details. Most other books on hedge funds just state some basic facts that everybody knows. This book, however, provides enough details on one single strategy, convertible arb. I would highly recommend this book to any serious Quant who wants to know more about convertible arb.

Convertible arbitrage is an alternative investment form that is ever-increasing in popularity. This book teaches both portfolio managers and fund of funds analysts everything they need to know about convertible bonds and includes a thorough background, a description of the various techniques, and valuation models. Illustrates points with informative graphs, tables, and appendices. An excellent resource tool.

This book joins a number of 'hot' topic based books on convertible arb but makes itself stand out by being the first to truly discuss the details of the arbitrages, how to trade and hedge them and how to identify them efficiently.Further credit (excuse the pun) should be given for extension into the CDS market and the use of more advanced credit hedging techniques.A must read for any academic interested in studying the fixed income arbitrage markets and a useful reference for any practitioner who thinks he knows what is involved in running an arb book.