Hedge Fund's Performance Black Box

Name: Hedge Fund's Performance Black Box
Brand: VDM Verlag Dr. Müller
SKU: 9783639205008
Price: 50.9 EUR
Availability: InStock

An Exposé on Fixed Income Arbitrage Returns

Автор: Matthias Baeuml

Език:

Корици: С меки корици

Издател: VDM Verlag Dr. Müller

Наличност: Налично при издателя, по поръчка

Изпращаме след 17-27 дни

50.90 € 99.56 лв

This book addresses the question from where superior returns of fixed income arbitrage hedge funds c...

Информация за книгата

Автор

Matthias Baeuml

Език

Английски език

Корици

Книга - С меки корици

Издадена

2009

страници

EAN

9783639205008

Enbook ID

06828482

Издател

VDM Verlag Dr. Müller

Теглоt

104

Размери

152 x 219 x 13

Пълно описание

This book addresses the question from where superior returns of fixed income arbitrage hedge funds come. I show that a dynamic multi-linear replication strategy identifies style factors to which fixed income arbitrageurs are exposed. A forward and backward looking stepwise regression reveals the link between asset-based style and return-based style factors from January 1998 to December 2007. The major findings are as follows: strategy-wise, the long-only exposure is steadily increasing over time whereas trend-following and convergence trades seem to replace passive spread trades. Location-wise, particularly swap spread positions are held in the portfolios. At the same time, mortgage-backed securities diminish significantly. I also find that a one standard deviation movement in the convertible bond spread leads to a 661.56 bps swing in arbitrage returns. That said, my findings contribute to the understanding of the systematic risk caused by hedge funds. I also find good news for investors: the alpha share is significantly positive in almost all sub-periods, and an index based on my model properly captures the statistical properties of fixed income arbitrage hedge funds.

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Hedge Fund's Performance Black Box

An Exposé on Fixed Income Arbitrage Returns

Информация за книгата

Пълно описание

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Клиенти, които купиха тази книга, купиха също