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Wo investieren Distressed-Securities-Hedgefonds? Ein Asset-based Style-Faktorenmodell

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Bontschev, G., Eling, M. Wo investieren Distressed-Securities-Hedgefonds? Ein Asset-based Style-Faktorenmodell. Credit and Capital Markets – Kredit und Kapital, 43(3), 375-406. https://doi.org/10.3790/kuk.43.3.375
Bontschev, Georgi and Eling, Martin "Wo investieren Distressed-Securities-Hedgefonds? Ein Asset-based Style-Faktorenmodell" Credit and Capital Markets – Kredit und Kapital 43.3, 2010, 375-406. https://doi.org/10.3790/kuk.43.3.375
Bontschev, Georgi/Eling, Martin (2010): Wo investieren Distressed-Securities-Hedgefonds? Ein Asset-based Style-Faktorenmodell, in: Credit and Capital Markets – Kredit und Kapital, vol. 43, iss. 3, 375-406, [online] https://doi.org/10.3790/kuk.43.3.375

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Wo investieren Distressed-Securities-Hedgefonds? Ein Asset-based Style-Faktorenmodell

Bontschev, Georgi | Eling, Martin

Credit and Capital Markets – Kredit und Kapital, Vol. 43 (2010), Iss. 3 : pp. 375–406

1 Citations (CrossRef)

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Article Details

Author Details

Dr. Georgi Bontschev, Martinsstraße 7, D-55116 Mainz.

Prof. Dr. Martin Eling, Universität Ulm, Institut für Versicherungswissenschaften, D-89069 Ulm.

Cited By

  1. 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]

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.