Convertible Bond Indices
01.06.2004
By Fisch Asset Management, June 2004
The analysis offers an overview over existing and commonly known convertible bond indices and a guideline to find the index which suits best as benchmark for a given investment strategy.
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Executive summary
Goals
The main goals of this study are to provide:
- an overview over existing and commonly known convertible bond indices and
- a guideline to find the index which suits best as benchmark for a given investment strategy and
- an analysis of the availability of key figures and ratios necessary to compute a performance contribution and attribution
The study is designed for outright convertible bond managers and financial consultants. Questions that rely on arbitrage are not considered.
Structure
The study starts with a summary of the analysed indices.
The second part contains the detailed description of the analysed indices.
Part III is intended to serve as a guideline to find the appropriate benchmark for a given convertible bond strategy.
A glossary is provided at the end.