Year: 2010
Author: Bontschev, Georgi, Eling, Martin
Credit and Capital Markets – Kredit und Kapital, Vol. 43 (2010), Iss. 3 : pp. 375–406
Abstract
Where do Distressed Securities Hedge Funds Invest? An Asset-based Style Factor Model
This article analyses the systematic risks of distressed securities hedge funds. Four factors largely explain the systematic risk of this strategy group: These are the returns of two options strategies, i. e. (1) a short-put position on a stock index and (2) a short-straddle position on a bond index. Other factors are (3) a spread reflecting the return difference between a high-yield index and ten-year US Government bonds as well as (4) returns of stocks with low market capitalization. The risk-return-characteristics of distressed securities hedge funds can be represented by a linear combination of these four factors. In terms of its explanatory power, the asset-based style factor model is satisfactory with regard to the strategy return over time and can be used, for instance, to identify a stlye drift, i.e. a deviation from the declared investment style. Our results are relevant not only for investors, but also for supervisory authorities which are currently discussing options for regulation of such funds.
Journal Article Details
Publisher Name: Global Science Press
Language: German
DOI: https://doi.org/10.3790/kuk.43.3.375
Credit and Capital Markets – Kredit und Kapital, Vol. 43 (2010), Iss. 3 : pp. 375–406
Published online: 2010-07
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 32
Author Details
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Factors that affect the performance of distressed securities hedge funds
Bontschev, Georgi
Eling, Martin
Journal of Derivatives & Hedge Funds, Vol. 19 (2013), Iss. 3 P.159
https://doi.org/10.1057/jdhf.2013.12 [Citations: 0]