The return/volatility trade-off of distressed corporate debt portfolios
EI Altman, JF González-Heres… - The Journal of …, 2014 - jpm.pm-research.com
This article analyzes the returns of distressed high-yield corporate bond portfolios based on
the volatility characteristics of their corresponding option-adjusted spreads (“OAS”). Applying …
the volatility characteristics of their corresponding option-adjusted spreads (“OAS”). Applying …
The Distressed Corporate Debt Cycle from a Hedge Fund Investor's Perspective
P Chen, JF González-Heres… - The Journal of Alternative …, 2008 - search.proquest.com
This article analyzes the distressed corporate debt cycle from the perspective of a hedge fund
investor rather than a hedge fund manager. The authors find that the distressed cycle has …
investor rather than a hedge fund manager. The authors find that the distressed cycle has …
Revisiting the Altman Definition of Distressed Debt and a New Mechanism for Measuring the Liquidity Premium of the High-Yield Market
JF González-Heres, P Chen… - The Journal of Fixed …, 2010 - search.proquest.com
… GONzALEz—HERES is a managing director and portfolio manager for the fund ofHedge
Funds port— folios at Morgan Stanley Alternative Investment Partners (All’) in West (…
Funds port— folios at Morgan Stanley Alternative Investment Partners (All’) in West (…
The effect of S&P 500 correlation on hedge fund alpha
JB Baesel, JF González-Heres… - The Journal of Wealth …, 2012 - search.proquest.com
This article investigates the effect of S&P 500 Index correlation on the performance of hedge
funds. Specifically, the authors separate the alpha and beta components of the four major …
funds. Specifically, the authors separate the alpha and beta components of the four major …
Hedge fund benchmarking: equity correlation regimes and alpha
JB Baesel, JF González-Heres… - The Journal of …, 2013 - jai.pm-research.com
The authors analyze the effect of realized cross-sectional correlations of the S&P 500 on hedge
fund alpha by proposing a unified model that extends the Fama–French five-factor model …
fund alpha by proposing a unified model that extends the Fama–French five-factor model …
CHAPTER TWENTY FIVE REVISITING THE ALTMAN DEFINITION
JF GONZÁLEZ-HERES, P CHEN - First International Conference …, 2011 - books.google.com
Twenty years after the Altman definition of distressed debt was first published, we find
strong empirical evidence supporting the definition’s efficacy over long periods of time. After …
strong empirical evidence supporting the definition’s efficacy over long periods of time. After …
Commodity trading advisor indexes and alpha generation relationships
S Mackey - Journal of Applied Business Research (JABR), 2014 - clutejournals.com
This research investigates the trend following relationships between Commodity Trading
Advisor (CTA) Indexes and a widely known trend following proxy Index using a database …
Advisor (CTA) Indexes and a widely known trend following proxy Index using a database …
Hedge fund strategies and time-varying alphas and betas
S Frydenberg, K Hrafnkelsson… - The Journal of …, 2017 - search.proquest.com
This article compares the time-varying estimates of alphas and betas for hedge funds in bear
and bull market periods. The time-varying models show that most hedge fund strategies …
and bull market periods. The time-varying models show that most hedge fund strategies …
The anatomy of distressed debt markets
EI Altman, R Benhenni - Annual Review of Financial Economics, 2019 - annualreviews.org
Over the last 30 years, the distressed debt market has come a long way and is now a legitimate
investment asset class, albeit with periodic dramatic activity. Despite the benign credit …
investment asset class, albeit with periodic dramatic activity. Despite the benign credit …
Isolating Trend-Following Alpha Effects of CTA Funds.
S Mackey - Proceedings of the Northeast Business & …, 2012 - search.ebscohost.com
The purpose of this research is to examine specific market conditions, trending versus non-trending
markets, in which Commodity Trading Advisor funds (CTAs) add significant positive …
markets, in which Commodity Trading Advisor funds (CTAs) add significant positive …