TY - JOUR T1 - Returns-Based Style Analysis of Convertible Bond Funds JF - The Journal of Fixed Income SP - 52 LP - 64 DO - 10.3905/JFI.2009.18.3.052 VL - 18 IS - 3 AU - Dale L. Domian AU - William R Reichenstein Y1 - 2008/12/31 UR - https://pm-research.com/content/18/3/52.abstract N2 - This study presents returns-based style analysis on a convertible bond index and 16 convertible bond funds for 1998–2007 and two subperiods. It allows investors to better calculate their asset allocation. For the full period and both subperiods, the average convertible bond fund'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 ER -