@article {Domian52, author = {Dale L. Domian and William R Reichenstein}, title = {Returns-Based Style Analysis of Convertible Bond Funds}, volume = {18}, number = {3}, pages = {52--64}, year = {2008}, doi = {10.3905/JFI.2009.18.3.052}, publisher = {Institutional Investor Journals Umbrella}, abstract = {This study presents returns-based style analysis on a convertible bond index and 16 convertible bond funds for 1998{\textendash}2007 and two subperiods. It allows investors to better calculate their asset allocation. For the full period and both subperiods, the average convertible bond fund{\textquoteright}s returns closely track the returns from a portfolio of 60\% stocks, 30\% high-grade bonds, and 10\% cash, where the stock exposure contains a strong tilt toward small-cap stocks. Not surprisingly, results vary across convertible bond funds, but all of these funds have implied stock exposures from about 50\% to 80\% for all periods. Despite their name, from an asset-allocation perspective most convertible bond funds should be viewed as mostly stocks, especially small-cap growth stocks.TOPICS: Fixed-income portfolio management, style investing, options}, issn = {1059-8596}, URL = {https://jfi.pm-research.com/content/18/3/52}, eprint = {https://jfi.pm-research.com/content/18/3/52.full.pdf}, journal = {The Journal of Fixed Income} }