Strategy struggles


A large sell-off because of credit issues, the decline of the VIX and the widening of credit spreads led to monthly losses for convertible arbitrage, which experienced the worst environment since 1999 for the strategy.

The Goldman Sachs U.S. Convertible Arbitrage Index was in the red by 1.3%, and the range of constituent funds in the index was 0% to negative 2.8%, with the damage hitting high-yield credits the hardest.

Though losses for individual funds employing the strategy were rarely more than 1% to 2%, those numbers are significant given the usual steadiness of the strategy. The Stark Investments,