Convertible funds
Our investment process aims to reproduce the behavior of convertible bonds by replicating each risk factor separately (equity, interest rate, credit, spread, volatility) with simple elements:
- bonds and interest rate future for the fixed-income component ;
- equities used as a cushion in order to reproduce the convex behavior of convertibles which makes a convertible bond increase more in price following a price increase in the underlying than decrease in price following a price decrease of the underlying ;
- covered options for the volatility component.
The main benefits of this investment process are:
- efficient replication of stock selection of the CCR Actions’ flagship European equity fund “Centrale Valeur” or the Jupiter’European equity fund “Centrale Croissance Europe” independently of any investment restrictions due to the tightness of the convertibles investment universe ;
- convexity replication of convertible bonds through delta adjustments by stock purchases or sales (regular adjustments, monitoring of portfolio structure) ;
- a high-quality credit-investment environment, independent of the credit composition of the convertibles environment.
| Funds |
Universe |
Category |
Benchmark |
| Centrale Convertibles Euro |
Euro |
Convertible Bonds |
Exane ECI Euro |
| Centrale Croissance Convertibles |
Europe |
Convertible Bonds |
Exane ECI Euro |
