A plague on arbitrageurs

Damaging market factors have descended on convertible bond arbitrageurs like a swarm of locusts this summer. Is the market heading for meltdown? Navroz Patel reports


The adjective initially volunteered by most convertible bond arbitrageurs when asked to characterise the year so far is ‘interesting’. Some managers are less euphemistic: “Convertible arbitrage funds are getting smacked around across the board; nearly everyone is feeling the pain,” says Andrew Pernambuco, principal at Alexandra Investment Management, a New York-based convertible arbitrage hedge fund manager with around $1.2 billion under management. Alexandra’s Master Fund is one of

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