Hedge Fund Strategy - Convertible Arbitrage

原文在此

Convertible arbitrage is a type of equity long-short investing strategy often used by hedge funds.

An equity long-short strategy is an investing strategy which involves taking long positions in stocks that are expected to increase in value and short positions in stocks that are expected to decrease in value.

可轉換套利是股票多空策略的一種投資策略，經常被對沖基金使用。股票多空策略是一種投資策略，它包含取得股票的多頭部位並期望股票的價值增加，取得空頭部位，期望股票的價值減少。

Instead of purchasing and shorting stocks, however, convertible arbitrage takes a long position in, or purchases, convertible securities. It simultaneously takes a short position in, or sells, the same company’s common stock.

可轉換套利不需要做多及做空股票，可轉換套利取得一個多頭部位或採購可轉換股票。它同時取得一個空頭部位，或賣出相同公司的普通股票(common stock)。

To understand how that works, it is important to know what convertible securities are. A convertible security is a security that can be converted into another security at a pre-determined time and a pre-determined price. In most cases, the term applies to a bond that can be converted into a stock. Convertible bonds are considered neither bonds nor stocks, but hybrid securities with features of both. They may have a lower yield than other bonds, but this is usually balanced by the fact that they can be converted into stock at what is usually a discount to the stock’s market value. In fact, buying the convertible bond places the investor in a position to hold the bond as-is, or to convert it to stock if he or she anticipates that the stock’s price will rise.

要了解如何工作的，重要的是要知道什麼是可轉換證券。可轉換證券是一種安全，可以在預先確定的時間和預先確定的價格轉換成另一種安全。在大多數情況下，該術語適用於一個債券可以轉換成股票。可轉換債券被認為是既不債券也不是股票，而是同時具有以上兩個(債券及股票)特點的混合型證券。他們可能有一個比其他債券較低的收益率，而這通常是個平衡的事實，因為在轉換過城中香對於市場價格而有一些折扣。事實上，購買可轉債好像是購買債券一樣，否則也可轉換成股票，如果投資者預期股票價格將上升。

The idea behind convertible arbitrage is that a company’s convertible bonds are sometimes priced inefficiently relative to the company’s stock. Convertible arbitrage attempts to profit from this pricing error.

可轉換套利背後的想法是，公司的可轉換債券的定價有時是無效率相對於該公司的股票。可轉換套利試圖從這種定價錯誤中獲利。

To illustrate how convertible arbitrage works, a hedge fund using convertible arbitrage will buy a company’s convertible bonds at the same time as it shorts the company’s stock. If the company’s stock price falls, the hedge fund will benefit from its short position; it is also likely that the company’s convertible bonds will decline less than its stock, because they are protected by their value as fixed-income instruments. On the other hand, if the company’s stock price rises, the hedge fund can convert its convertible bonds into stock and sell that stock at market value, thereby benefiting from its long position, and ideally, compensating for any losses on its short position.

為了說明可轉換套利如何運作，對沖基金使用可轉換套利將可以購買一個公司的可轉換債券，在相同時間點上，它放空該公司的股票。如果公司股票下跌，對沖基金將從放空的部位獲利，因為他們具有固定收入的保護機制。換句話說，如果公司股票上漲，對沖基金將轉換他的可轉換公債變成股票，同時用市場價格賣出股票，因此，從多頭部位獲利，並且完美的補償從空頭部位而來的損失。

Convertible arbitrage is not without risks. First, it is trickier than it sounds. Because one generally must hold convertible bonds for a specified amount of time before they can be converted into stock, it is important for the convertible arbitrageur to evaluate the market carefully and determine in advance if market conditions will coincide with the time frame in which conversion is permitted.

可轉換套利並非沒有風險。首先，它比它被聽到的更為複雜。因為人們通常必須在指定的一段時間持有可轉換債券，才可以轉換成股票，投資者必須小心的評估市場以及更進一步的決定，如果市場條件符合預期。

Additionally, convertible arbitrageurs can fall victim to unpredictable events. One example is the market crash of 1987, when many convertible bonds declined more than the stocks into which they were convertible, for various reasons which are not totally understood even today. A more recent example occurred in 2005, when many arbitrageurs had long positions in General Motors (GM) convertible bonds and short positions in GM stock. They suffered losses when a billionaire investor tried to buy GM stock at the same time its debt was being downgraded by credit-ratings agencies.

此外，可轉換套利可能在不可預期的事件中受害。在1987年的一個崩盤的例子，當許多可轉債下跌超過到他們所兌換的，許多的原因到目前為止都很難理解。一個最近的例子發生在2005，許多套利者曾持有通用汽車公司的多頭部位（GM）可換股債券，他們蒙受損失，當億萬富翁投資者在同一時間試圖購買GM的股票，且GM的債務被信用評級機構降級的同時。

Finally, convertible arbitrage has become increasingly popular in recent years as investors have sought alternative investment options. That has reduced the effectiveness of the strategy.

最後，可轉債套利已成為越來越受歡迎，近年來隨著投資者紛紛尋求另類投資選擇。這降低了該策略的有效性。

In summary, convertible arbitrage, like other long-short strategies, may help increase returns in difficult market environments, but it isn’t without risks. As a result, investors considering a hedge fund that uses convertible arbitrage may want to carefully evaluate whether the potential return is balanced by the potential risks.

綜上所述，可轉換套利，像其他多空策略，可能有助於提高在困難的市場環境的回報，但它並非沒有風險。因此，投資者在考慮使用可轉債套利對沖基金需要仔細評估潛在回報和潛在風險是否平衡。