Strategy lab
Every strategy from 151 Trading Strategies and all 101 Formulaic Alphas as formulas you can edit and backtest on ten years of daily stocks, ETFs, futures, forex and crypto data. Free, in your browser.
12.1ConvertiblesReference
Convertible arbitrage
Convertibles tend to be issued cheap. Buy the convertible and short the issuer’s stock in the delta ratio, earning the mispricing and the bond’s income.
Why there is no chart
Convertible bond prices and terms.
The lab runs on daily prices for stocks, ETFs, indexes, futures, currencies, crypto and Treasury yields. This strategy from 151 Trading Strategies depends on data outside that set, so it is explained and formalised here rather than backtested.
Hypothetical backtests on daily closes with no slippage unless you add costs. Survivorship bias applies: the stock list is today’s large caps. For learning, not investment advice. Data: Yahoo Finance via yfinance.
- Source
- 151 Trading Strategies
- Section
- 12.1 · Convertibles
- Asset class
- Convertibles
- In the lab
- Explained, not backtested
Convertible arbitrage (12.1)
Convertibles tend to be issued cheap. Buy the convertible and short the issuer’s stock in the delta ratio, earning the mispricing and the bond’s income.
Key equation
Data it needs
Convertible bond prices and terms.
More in Convertibles
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.