Convergence and relative value arbitrage as conducted by LTCM and its imitators typically involves short-selling an asset with low default risk and/or high liquidity while holding a similar asset with higher default risk and/or lower liquidity. In many cases, therefore, price movements caused by a flight to quality and by the forced sales of components of an arbitrage superportfolio cannot be distinguished.

Donald MacKenzie, An Engine, Not a Camera, loc. 1076