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 …

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 …

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 …

This article undertakes an empirical investigation of the efficacy of the Altman definition, which
defines distressed debt as a security trading at a risk premium in excess of 1,000 bps over …

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 …

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 …

Banking, since the recent 2008 crisis and the overwhelming evidence of its causes in the
banking, regulatory and mortgage sector, has become (if it wasn’t enough already) one of the …

In recent years, more investors are considering an allocation to commodities, typically
motivated by a desire to tap the inflation fighting or diversifying properties of this asset class. …

[eng] The dissertation deals with the scientific problem, in order to assess what are the theoretical
assumptions of the investment portfolio formation using the asset allocation strategies, …

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