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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
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Dr. Georgi Bontschev, Martinsstraße 7, D-55116 Mainz.
Prof. Dr. Martin Eling, Universität Ulm, Institut für Versicherungswissenschaften, D-89069 Ulm.
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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]
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.