Arbitrage Returns Fading? Blame Computers!

The computers that are compressing returns for quantitative styles are what made them possible in the first place.

January’s Hennessee Group poll of hedge fund managers predicted that convertible arbitrage would earn between 5 and 6 percent this year. As of the end of July, the number was in the ballpark -- it was just the direction that was wrong: An index of convertible arbitrage hedge funds tracked by Chicago-based Hedge Fund Research was down 4.3

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