Analysis of Distressed Debt HFs By: Peter Urbani

Step 1 Load Basic Benchmark Data

Step 2 Load Fund Data Eurekahdge Database ( 11,600 Funds )

Step 3 Filter Data by Main Investment Strategy

Step 3 Select Distressed Debt Strategies

Step 3 Add Distressed Debt Strategies 188 Funds

Step 3 Add Distressed Debt Strategies 188 Funds

Step 3 Add A new Filter based on Currency to exclude duplicates

Step 3 This reduces the dataset to 177 Funds

Step 3 Data Table of 177 Funds now ready to work with

Step 4 Create Composite (Equally Weighted) Benchmarks

Step 4 Create Composite (Equally Weighted) Benchmarks

Step 4 Group by Dead or Alive

Step 4 Add Descriptor

Step 4 Also create single equally weighted Benchmark

Step 4 Benchmarks appended to Data Table

Step 5 Data ready to use select Visual Analysis

Step 5 Select Fund and Benchmark to View

Step 5 Fund has longer History than Benchmark

Step 5 Adjust accordingly by altering Start date

Step 5 Estimate of Survivor Bias Living Funds v.s. All Funds

Step 5 Estimate of Cost slippage between Distressed HFI and FoF

Step 5 Examine Longer term performance

Step 5 Change Chart Type and Statistics

Step 5 Examine Longer term cyclicality

Step 5 Examine Longer term cyclicality

Step 5 Examine Relationship to Equities (S&P500TR)

Step 5 Examine Relationship to Equities (S&P500TR)

Step 5 Examine Relationship to Equities (S&P500TR)

Step 5 Identify possible Funds for further investigation

Step 5 Identify possible Funds for further investigation

Step 5 Identify possible Funds for further investigation

Step 5 Identify possible Funds for further investigation

Step 5 Identify possible Funds for further investigation

Step 5 Correlation Matrix of funds with at least 36 months data

Step 5 Copula Correlation of funds with at least 36 months data

Step 5 Efficient Frontier of funds with at least 36 months data

Step 5 Dynamic updating of Frontier as required return rises

Bull and Bear Markets for Distressed Debt

Primary Drivers
12m Rolling Yields
100.0%
Credit Spread (BAA - US10Y)

80.0% 60.0% 40.0% 20.0% 0.0% -20.0% -40.0%

Term Spread 5-7YR - 1-3YR IAS Distressed Debt Index

Jan-95

Jan-96

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