Convertible Arbitrage

Zazove’s Convertible Arbitrage strategy seeks to provide bond-like returns with low volatility and low correlation to both fixed income and equity indices. The strategy uses 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 stable foundation, which is enhanced through delta hedging, strategic positioning along the convertible price curve, and monetizing event driven opportunities. Fundamental credit analysis, diversification, and liquidity reviews are the anchors of Zazove’s risk management process. Equity market and interest rate risks are hedged with the goal of remaining market neutral, while credit and volatility exposures are actively managed. Long leverage of 2:1 is applied consistently.