Integrated convertibles - Investment styles and characteristics integration applied to convertible bonds
This article explores six investment styles like momentum, value, defensive and others in the niche asset class of US convertible bonds. While only carry and a characteristics integration approach yield promising results, it seems that both strategies can be explained by common equity and bond market factors. Thus, the case of characteristics investing in convertible bonds is not as strong as in other more traditional asset classes. However, convertible bond characteristics integration provides an interesting opportunity to get exposure to equity and bond markets as well as to multiple characteristics at once.