Has Goldman Sachs announced the death of convertible bond arbitrage? Possibly, though not quite. But the firm apparently no longer feels that convertible funds are convertible arbitrage funds and has changed the name of its index to reflect this view.
In a recent research note the bank announced that its U.S. Convertible Arbitrage Index would now be called the U.S. Convertible Hedge Fund Index to reflect the new reality.
Goldman says that many managers have strayed "from their convertible roots to a far broader range of capital structure and directional strategies."
The report adds that "one manager's 'convertible arbitrage' position may