At the start of June, convertible arbitrage hedge funds were wilting after a ferocious sell-off that capped a miserable start to the year. The convertible arbitrage index compiled by New York-based hedge fund consulting firm Hennessee Group was down 7.1% in the first five months of the year - the strategy's worst performance in more than a decade. The CSFB/Tremont convertible arbitrage index, meanwhile, was down 6.34% in the first six months of the year.
Since then, however, performance has i
The week on Risk.net, August 4–10Receive this by email