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References in periodicals archive ?
Duarte, Longstaff, and Yu (2005) studied fixed-income arbitrage strategies replicating the returns of commonly used strategies based on observable prices of fixed-income securities and their derivatives.
In addition, all styles, including fixed-income arbitrage (one of the major hedge fund strategies listed earlier), have correlations to changes in the default spread.
Let [y.sub.t-1] denote the earnings of fixed-income arbitrage hedge funds in the previous period; the convergence coefficient ([lambda]) is conjectured to depend on [y.sub.t-1] as
In Models 1 and 2, trading activity is inferred from trading income, which in Model 1 is derived from the change in the spread and the inferred trading position, while in Model 2 it is inferred from the earnings of fixed-income arbitrage hedge funds.
(8) In comparison to the S&P 500, which has a first-order autocorrelation coefficient of -1.0 percent, the autocorrelations of the hedge fund indexes are very high, with values of 55.8 percent for convertible arbitrage, 39.2 percent for fixed-income arbitrage, and 35.0 percent for event driven, all of which are significant at the 1 percent level according to the corresponding p-values.
Convertible arbitrage, dedicated short bias strategies, equity market neutral portfolios, fixed-income arbitrage, and managed futures trading fit into this group.