Convertibles market was particularly hard hit by the severe deleveraging that took place during the post-Lehman panic.
This coupled with the general market volatility and the banks of short selling in 2008 culminated in one of the worst years on record for the strategy.
However, 2009 is shaping up to be a different story. The convertible market has rebounded strongly on bargain buying after delveraging of hedge funds hit a peak at teh end of 2008.
The HFRI Fixed Income-Convertible Arbitrage