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In the past decade, convertible arbitrage has endured considerable infamy. Due to the near 40% drawdown experienced by managers in the 2008 global financial crisis (Figure 1), assets under management in the strategy declined (Figure 2) and numerous arbitrage funds closed. In addition, the ensuing post-crisis era of zero rates and repressed volatility did little to help convertible arbitrage (and indeed, most other discretionary strategies) replicate pre-crisis
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