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


  • Georgi Bontschev

    (European Business School, Center of Entrepreneurial and Small Business Finance (esbf), Schloß Reichartshausen, D-65375 Oestrich-Winkel)

  • Martin Eling

    (Universität Ulm, Institut für Versicherungswissenschaften, D-89069 Ulm)


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.

Suggested Citation

  • Georgi Bontschev & Martin Eling, 2010. "Wo investieren Distressed-Securities-Hedgefonds? Ein Asset-based Style-Faktorenmodell," Credit and Capital Markets, Credit and Capital Markets, vol. 43(3), pages 375-406.
  • Handle: RePEc:kuk:journl:v:43:y:2010:i:3:p:375-406

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    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G2 - Financial Economics - - Financial Institutions and Services


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