The material on this site is for financial institutions, professional investors and their professional advisers. It is for information only. Please read our Terms & Conditions, Privacy Policy and Cookies before using this site. Please see our Subscription Terms and Conditions.

All material subject to strictly enforced copyright laws. © 2022 Euromoney, a part of the Euromoney Institutional Investor PLC.

Research: Convertibles outperform equities

Equity managers in Europe, Japan and Asia might benefit from swapping stocks for convertibles

Recent research by Nomura, which looks at the long-term performance of equity, debt and convertibles in Europe, Japan and Asia, shows that equity managers could have achieved superior risk-adjusted returns by ignoring equities altogether and investing solely in convertibles. Fixed-income and mixed-fund managers could also have improved their risk-adjusted performance by adding a significant weighting of convertibles, even though debt outperformed both asset classes over the period of the study.

The study looked at weekly data beginning in 1994, 1997 and 1998 in Europe, Asia and Japan respectively, the earliest dates for which useable data were available.

The study confirms that convertibles live up to their hybrid nature by providing upside exposure and downside protection. Convertibles behaved like equity when equity markets were strong, with low sensitivity to interest rate movements, and performed like debt when equity markets were bearish, with little sensitivity to equity movements but responding to changes in interest rates and credit like a pure debt instrument.

Returns and risk in Europe and Asia
Return Risk Sharpe ratio   Return Risk Sharpe ratio Return Risk Sharpe ratio  
Debt 6.90%

You have reached premium content. Please log in to continue reading.

Read beyond the headlines with Euromoney

For over 50 years, our readers have looked to Euromoney to stay informed about the issues that matter in the international banking and financial markets. Find out more about our different levels of access below.


Unlimited access to and

Expert comment, long reads and in-depth analysis interviews with senior finance professionals

Access the results of our market-leading annual surveys across core financial services

Access the results of our annual awards, including the world-renowned Awards for Excellence

Your print copy of Euromoney magazine delivered monthly

£73.75 per month

Billed Annually


Unlimited access to and, including our top stories, long reads, expert analysis, and the results of our annual surveys and awards

Sign up to any of our newsletters, curated by our editors


Already a user?

We use cookies to provide a personalized site experience.
By continuing to use & browse the site you agree to our Privacy Policy.
I agree