JOURNAL ARTICLE

Can Convertible Bond Index Risk-Adjusted Return Characteristics Be Replicated?

  • Published In: Journal of Wealth Management, 2024, v. 26, n. 4. P. 50 1 of 3

  • Database: Business Source Ultimate 2 of 3

  • Authored By: Aw, Edward N. W.; Jiang, John Q.; Rossmiller, David W. 3 of 3

Abstract

Convertible bonds are fixed-income securities that have embedded options to convert into equities. This optionality offers investors better risk-adjusted returns than traditional bonds or equities. However, due to limited liquidity, investing in convertible bonds is challenging for many investors. In this article, the authors propose a convertible-bond index replication strategy using stocks and a high-yield exchange-traded fund (ETF). Their back-test shows that a replication portfolio consisting of stocks and a high-yield ETF reasonably tracks the risk-adjusted return characteristics of a convertible bond index. [ABSTRACT FROM AUTHOR]

Additional Information

  • Source:Journal of Wealth Management. 2024/03, Vol. 26, Issue 4, p50
  • Document Type:Article
  • Subject Area:Business and Management
  • Publication Date:2024
  • ISSN:1534-7524
  • DOI:10.3905/jwm.2024.1.230
  • Accession Number:175595970
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