Regression Results for Convertible Arbitrage

Since Convertible Arbitrage is a delta hedging strategy (although I would have thought that the recent problems with that strategy were more to do with credit risk than market risk), it seems likely that there would be a strong correlation between the performance of this strategy and the VIX-GARCH spread. The results are presented here. As expected, the regression is strong with positive correlation and a p-Value of 0.00065.