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The Journal of Structured Finance
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The Journal of Structured Finance

The Journal of Structured Finance

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Primary Article

Collateralized Fund Obligations

The Value of Investing in the Equity Tranche

Jean Missinhoun and Leena Chacowry
The Journal of Structured Finance Winter 2005, 10 (4) 32-37; DOI: https://doi.org/10.3905/jsf.2005.470596
Jean Missinhoun
A senior partner at Intangis in New York City.
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  • For correspondence: jmissinhoun@intangis.com
Leena Chacowry
A partner at Intangis.
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  • For correspondence: leena.s.chacowry@rcgholding.com
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Abstract

Collateralized fund obligations (CFOs) are structured finance products linked to the performance of underlying funds of hedge funds. The capital structure of the CFO entails repackaging fund assets into a special purpose entity (SPE), which then issues debt and equity securities with different risk- return trade-offs. To date, three public CFO deals have been brought to market. Placing the CFO equity tranche, in which equity investors agree to absorb the first losses among underlying fund shares in return for the most upside potential, has proven to be challenging. Nonetheless, the authors demonstrate that investing in the equity tranche provides real value to investors, as it outperforms funds of hedge funds in 80% of the observations.

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The Journal of Structured Finance
Vol. 10, Issue 4
Winter 2005
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Collateralized Fund Obligations
Jean Missinhoun, Leena Chacowry
The Journal of Structured Finance Jan 2005, 10 (4) 32-37; DOI: 10.3905/jsf.2005.470596

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Collateralized Fund Obligations
Jean Missinhoun, Leena Chacowry
The Journal of Structured Finance Jan 2005, 10 (4) 32-37; DOI: 10.3905/jsf.2005.470596
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