distressed debt hf's update ( mar 2013 )
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Analysis of Distressed Debt HFs
By: Peter Urbani
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Step 1Load Basic Benchmark Data
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Step 2Load Fund Data Eurekahdge Database ( 11,600 Funds )
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Step 3Filter Data by Main Investment Strategy
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Step 3Select Distressed Debt Strategies
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Step 3Add Distressed Debt Strategies 188 Funds
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Step 3Add Distressed Debt Strategies 188 Funds
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Step 3Add A new Filter based on Currency to exclude duplicates
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Step 3This reduces the dataset to 177 Funds
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Step 3Data Table of 177 Funds now ready to work with
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Step 4Create Composite (Equally Weighted) Benchmarks
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Step 4Create Composite (Equally Weighted) Benchmarks
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Step 4Group by Dead or Alive
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Step 4Add Descriptor
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Step 4Also create single equally weighted Benchmark
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Step 5Data ready to use select Visual Analysis
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Step 5Select Fund and Benchmark to View
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Step 5Fund has longer History than Benchmark
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Step 5Adjust accordingly by altering Start date
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Step 5Estimate of Survivor Bias Living Funds v.s. All Funds
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Step 5Estimate of Cost slippage between Distressed HFI and FoF
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Step 5Examine Longer term performance
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Step 5Change Chart Type and Statistics
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Step 5Examine Longer term cyclicality
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Step 5Examine Longer term cyclicality
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Step 5Examine Relationship to Equities (S&P500TR)
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Step 5Examine Relationship to Equities (S&P500TR)
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Step 5Examine Relationship to Equities (S&P500TR)
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Step 5Identify possible Funds for further investigation
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Step 5Identify possible Funds for further investigation
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Step 5Identify possible Funds for further investigation
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Step 5Identify possible Funds for further investigation
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Step 5Identify possible Funds for further investigation
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Step 5Correlation Matrix of funds with at least 36 months data
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Step 5Copula Correlation of funds with at least 36 months data
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Step 5Efficient Frontier of funds with at least 36 months data
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Step 5Dynamic updating of Frontier as required return rises
B ll d B M k t f Di t d D bt
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Bull and Bear Markets for Distressed Debt
P i D i
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Primary Drivers
12m Rolling Yields
-40.0%
-20.0%
0.0%
20.0%
40.0%
60.0%
80.0%
100.0%
Jan-95
Jan-96
Jan-97
Jan-98
Jan-99
Jan-00
Jan-01
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Credit Spread (BAA - US10Y)
Term Spread 5-7YR - 1-3YR
IAS Distressed Debt Index