Convertible arbitrage strategies have been an unloved category of the hedge fund landscape since they underperformed during the financial crisis. Over a three-year period to February 2017, performance has been weak, with the HFRX RV: FI-Convertible Arbitrage index losing 1.4% on an annualised basis compared to a 1.7% loss for the HFRX Relative Value index and a 0.5% loss for the HFRX Global Hedge Fund index. Recent performance has been stronger, with the HFRX RV: FI-Convertible Arbitrage index returning 9.7% for the 12 months to February 2017. However, even with this uptick, we see an improving opportunity set, given a...