Based on the information in Table 20.2 (below), would you expect Fixed-Income Arb hedge funds to have positive or negative performance in the following scenarios:

a) stock markets rise

b) interest rates fall

c) credit spreads widen

Transcribed Image Text:

TABLE 20.2 Style analysis for a sample of hedge fund indexes Funds Group* Long T-Bond All funds Market neutral Short bias Event driven Risk arbitrage Distressed Emerging markets Fixed-income arb Convertible arb Global macro Long-short equity Managed futures Multistrategy Alpha 0.0052 3.3487 0.0014 0.1990 0.0058 1.3381 0.0071 5.1155 0.0034 3.0678 0.0068 5.7697 0.0082 2.8867 0.0018 1.0149 0.0005 0.2197 0.0079 3.5217 0.0053 2.5693 0.0041 0.8853 0.0075 4.2180 S&P 500 0.2718 5.0113 0.1677 0.6917 -0.9723 -6.3684 0.2335 4.7858 0.1498 3.8620 0.2080 4.9985 0.3750 3.7452 0.1719 2.8139 0.2477 3.1066 0.0746 0.9437 0.4442 6.1425 0.2565 1.5944 0.2566 4.1284 0.0189 0.3064 -0.0163 -0.0589 0.1310 0.7527 -0.0000 -0.0002 0.0130 0.0442 0.0032 0.0679 0.2624 2.2995 0.2284 3.2806 0.2109 2.3214 0.0593 0.6587 -0.0070 -0.0850 -0.2991 -1.6310 -0.0048 -0.0684 Credit Conditions 0.1755 2.0462 0.3308 0.8631 0.3890 1.6113 0.2056 2.6642 -0.0006 -0.0097 0.2521 3.8318 0.4551 2.8748 0.5703 5.9032 0.5021 3.9825 0.1492 1.1938 0.0672 0.5874 -0.5223 -2.0528 0.1781 1.8116 U.S. Dollar -0.1897 -2.1270 -0.5097 - 1.2790 -0.2630 -1.0476 -0.1165 -0.1520 -0.2130 -3.3394 -0.1156 -1.6901 -0.2169 -1.3173 -0.1714 -1.7063 -0.0972 -0.7414 -0.2539 -1.9533 -0.1471 -1.2372 -0.2703 - 1.0217 -0.1172 -1.1471 TABLE 20.2 Style analysis for a sample of hedge fund indexes Funds Group* Long T-Bond All funds Market neutral Short bias Event driven Risk arbitrage Distressed Emerging markets Fixed-income arb Convertible arb Global macro Long-short equity Managed futures Multistrategy Alpha 0.0052 3.3487 0.0014 0.1990 0.0058 1.3381 0.0071 5.1155 0.0034 3.0678 0.0068 5.7697 0.0082 2.8867 0.0018 1.0149 0.0005 0.2197 0.0079 3.5217 0.0053 2.5693 0.0041 0.8853 0.0075 4.2180 S&P 500 0.2718 5.0113 0.1677 0.6917 -0.9723 -6.3684 0.2335 4.7858 0.1498 3.8620 0.2080 4.9985 0.3750 3.7452 0.1719 2.8139 0.2477 3.1066 0.0746 0.9437 0.4442 6.1425 0.2565 1.5944 0.2566 4.1284 0.0189 0.3064 -0.0163 -0.0589 0.1310 0.7527 -0.0000 -0.0002 0.0130 0.0442 0.0032 0.0679 0.2624 2.2995 0.2284 3.2806 0.2109 2.3214 0.0593 0.6587 -0.0070 -0.0850 -0.2991 -1.6310 -0.0048 -0.0684 Credit Conditions 0.1755 2.0462 0.3308 0.8631 0.3890 1.6113 0.2056 2.6642 -0.0006 -0.0097 0.2521 3.8318 0.4551 2.8748 0.5703 5.9032 0.5021 3.9825 0.1492 1.1938 0.0672 0.5874 -0.5223 -2.0528 0.1781 1.8116 U.S. Dollar -0.1897 -2.1270 -0.5097 - 1.2790 -0.2630 -1.0476 -0.1165 -0.1520 -0.2130 -3.3394 -0.1156 -1.6901 -0.2169 -1.3173 -0.1714 -1.7063 -0.0972 -0.7414 -0.2539 -1.9533 -0.1471 -1.2372 -0.2703 - 1.0217 -0.1172 -1.1471

Answer rating: 100% (QA)

FixedIncome Arbitrage FixedIncome Arb Performance ... View the full answer