Hedge Funds

Goldman pulls plug on convertible arb index


Goldman Sachs told investors this month that it will discontinue its convertible hedge fund index at the end of the year as the relative value strategy, which has seen a rocky year, becomes harder to track on an isolated basis.

In a note to clients, Scott Lange, a Goldman trader, noted that convertible arbitrage "has evolved significantly in recent years" as managers have extended into a "far broader range of capital structure and directional strategies." That trend has made it more difficult to isolate the strategy's performance in a meaningful way.

The Goldman Sachs Convertible Hedge Fund Index tracks