Hedge Fund's Performance Black Box: An Exposé on Fixed Income Arbitrage Returns

 
9783639205008: Hedge Fund's Performance Black Box: An Exposé on Fixed Income Arbitrage Returns

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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About the Author:

Matthias Baeuml was born in Regensburg, Germany. He graduated both in business administration as well as in economics from the University of St. Gallen (HSG), Switzerland, in 2009. Mr. Baeuml holds several renowned scholarships, and he is particularly interested in the link between economics and politics.

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1.

Baeuml, Matthias
ISBN 10: 3639205006 ISBN 13: 9783639205008
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Descripción Estado de conservación: New. Publisher/Verlag: VDM Verlag Dr. Müller | An Exposé on Fixed Income Arbitrage Returns | 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. | Format: Paperback | Language/Sprache: english | 108 gr | 68 pp. Nº de ref. de la librería K9783639205008

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2.

Matthias Baeuml
Editorial: VDM Verlag Okt 2009 (2009)
ISBN 10: 3639205006 ISBN 13: 9783639205008
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Descripción VDM Verlag Okt 2009, 2009. Taschenbuch. Estado de conservación: Neu. Neuware - 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. 68 pp. Englisch. Nº de ref. de la librería 9783639205008

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3.

Matthias Baeuml
Editorial: VDM Verlag Okt 2009 (2009)
ISBN 10: 3639205006 ISBN 13: 9783639205008
Nuevos Taschenbuch Cantidad: 2
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Rheinberg-Buch
(Bergisch Gladbach, Alemania)
Valoración
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Descripción VDM Verlag Okt 2009, 2009. Taschenbuch. Estado de conservación: Neu. Neuware - 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. 68 pp. Englisch. Nº de ref. de la librería 9783639205008

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Matthias Baeuml
Editorial: VDM Verlag, Russian Federation (2012)
ISBN 10: 3639205006 ISBN 13: 9783639205008
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The Book Depository EURO
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Descripción VDM Verlag, Russian Federation, 2012. Paperback. Estado de conservación: New. Language: English . Brand New Book. 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. This book was created using print-on-demand technology. Nº de ref. de la librería KNV9783639205008

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Matthias Baeuml
Editorial: VDM Verlag (2009)
ISBN 10: 3639205006 ISBN 13: 9783639205008
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Irish Booksellers
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Descripción VDM Verlag, 2009. Paperback. Estado de conservación: New. book. Nº de ref. de la librería M3639205006

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Matthias Baeuml
Editorial: VDM Verlag Okt 2009 (2009)
ISBN 10: 3639205006 ISBN 13: 9783639205008
Nuevos Taschenbuch Cantidad: 1
Impresión bajo demanda
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AHA-BUCH GmbH
(Einbeck, Alemania)
Valoración
[?]

Descripción VDM Verlag Okt 2009, 2009. Taschenbuch. Estado de conservación: Neu. This item is printed on demand - Print on Demand Neuware - 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. 68 pp. Englisch. Nº de ref. de la librería 9783639205008

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