Man GLG Convertible Arbitrage Alternative

The Man GLG Convertible Arbitrage Alternative employs a discretionary, convertible bond arbitrage strategy seeking absolute returns throughout all market cycles focused on North America (80%) and Europe (20%). The portfolio is managed by Gil Song who joined Man GLG in 2017 from Paloma Partners, where he was a convertible bond portfolio manager since 2006. The team, which includes two dedicated analysts, is supported by the broader Man GLG Credit/Convertible platform. The investment process begins using proprietary quantitative tools that screen the global investment universe initially on a sector basis, and within sectors, all bonds are assigned a fair value and resultant rich/cheap % to fair value through convertible bond modelling. A consistent valuation process is used throughout to facilitate relative valuation analysis, with the team undergoing extensive due diligence (credit, volatility, event risk). Finally, position sizes are determined based on convertible premium exposure, credit spread, and absolute implied volatility levels. The final portfolio typically includes 40-50 trading strategies on the long side (each a hedged pair; long convert short the underlying stock) and 5-10 trading strategies on the short side (short convert long the underlying stock). Positions are generally held for 3-18 months. The team also actively use macro overlay hedges at the portfolio level (a key differentiating factor vs. peers) implemented through a combination of credit derivatives, government bond futures and equity index options. Total strategy AUM are currently c. $700m.