Platinum Grove Asset Management, a relative value shop chaired by Nobel laureate Myron Scholes, was producing more tin than anything else in October. The flagship Platinum Grove Contingent Capital Fund lost an estimated 36% for the month, putting its year-to-date loss at 45.85%.
Lots of trades went wrong for fixed-income arbitrage players in October. Word has it that Platinum Grove lost some money on a trade involving Japanese inflation-linked bonds, whose market froze up.
Fixed-income arb funds also lost out on basis trades between bonds and credit default swaps as well as an unusual inversion of the relationship between