Hedged Convertible

SSI's Hedged Convertible Market-Neutral products seek absolute returns significantly greater than prevailing short-term interest rates, with moderate volatility and minimal correlation to major capital markets. Utilizing both quantitative and fundamental analysis to determine the best portfolio candidates, SSI's portfolio team constructs a diversified portfolio of convertible bonds and preferred stocks that have been evaluated on relative valuation and risk attributes.

Convertible Arbitrage strategies benefit from multiple sources of income including: interest/dividends on convertible securities, interest rebates on short positions, and capital gains from both mis-pricing and volatility. SSI's Hedged Convertible portfolios are opportunistic in that they are hedged at the position level through the short-sale of the underlying common stock. Treasury bond futures and credit default swaps may also be utilized on a tactical basis for risk management.

SSI has successfully managed hedged convertibles using a similar investment process since 1995.  In addition, SSI's expertise in market-neutral strategies and short selling has been honed by the firm's 37 years of experience in the alternative marketplace.

Income Strategy

• SSI's Hedged Convertible Income Strategy targets a return of 300 bps above 90-day Treasury Bills with a standard deviation of < 3%. The widely diversified portfolio contains 75-100 convertible bonds and/or preferreds. Each position is hedged with the common stock of the same underlying company to minimize equity volatility. The strategy has the ability to produce positive returns in both advancing and declining market scenarios.

Opportunity Strategy

• SSI's Hedged Convertible Opportunity Strategy targets a return of 600 bps above 90-day Treasury Bills with a standard deviation of <7% and may employ up to 3x leverage. The widely diversified portfolio contains 75-100 convertible bonds and/or preferreds. Each position is hedged with the common stock of the same underlying company to minimize equity volatility. The strategy has the ability to produce positive returns in both advancing and declining market scenarios.

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		Hedged Convertible Strategies Portfolio Managers: See the complete team