Convertible Strategies

Zazove Investment Grade Convertibles
The long-only Investment Grade Convertibles strategy seeks to provide US equity-like returns with significantly less volatility. Utilizing Zazove’s quantitative investment approach, the strategy seeks to identify convertible securities which possess an attractive risk/reward profile. Broad diversification and proprietary credit research are also important components of the investment process. The strategy is permitted to invest up to 25% in BB rated convertibles provided the strategy’s weighted average credit rating is at least BBB-.

Zazove Investment Grade Blend Convertibles
The long-only Investment Grade Blend Convertibles strategy seeks to provide US equity-like returns with significantly less volatility. Utilizing Zazove’s quantitative investment approach, the strategy seeks to identify convertible securities which possess an attractive risk/reward profile. Broad diversification and proprietary credit research are also important components of the investment process. Provided the weighted average credit rating is at least BBB-, the strategy has no other credit constraints regarding non-investment grade exposure.

Zazove Global Convertibles
The long-only Global Convertibles strategy seeks to provide global equity-like returns with substantially less volatility. Utilizing Zazove’s quantitative investment approach, it invests in convertible securities with attractive risk/reward characteristics with an emphasis on non-US exposure. As nearly half of the global convertible market is composed of non-US issues, the strategy offers significant diversification benefits by country, industry, and issuer. Global convertibles can also offer the most risk-efficient means to access certain non-US markets, including high-growth, emerging economies.

Zazove High Yield Convertibles
The Zazove High Yield Convertibles strategy takes advantage of a particularly inefficient segment of the convertible market. Over the long-term, the strategy seeks to produce total returns that are significantly higher than that of traditional high yield bonds. The investment objective is accomplished by constructing and managing a diversified portfolio of high yield convertibles, generally issued by companies with less than investment grade credit ratings. The portfolio is constructed to offer a substantial yield advantage and significant capital appreciation potential as compared to similarly rated straight debt investments, resulting in superior risk adjusted returns. Our fundamental investment process identifies companies with viable business models and acceptable credit risk that are undervalued, out-of-favor or overlooked.

Zazove Hedged Convertibles
The Hedged Convertibles strategy seeks to provide bond-like returns with low volatility and low correlation to both fixed income and equity indices. The strategy utilizes Zazove’s quantitative investment approach to identify and manage hedged convertible positions with positive income characteristics and attractive risk/reward profiles. Income serves as the primary return driver and creates a solid return foundation, which is enhanced through delta hedging, strategic positioning along the convertible price curve, and monetizing event driven opportunities.

Credit analysis, liquidity review, and diversification are the anchors behind Zazove’s risk management process. While credit and volatility exposures are actively managed, interest rate and equity market risks are hedged with the goal of remaining market neutral. Leverage of up to 2:1 is applied on a discretionary basis and depends largely on the opportunity set.

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