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 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 …

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
GONzALEzHERES is a managing director and portfolio manager for the fund ofHedge
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 …

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 …

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 …

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 …

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 …

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 …

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 …