Hi,The rule has changed this year. U R not authorized to do so any longer. No bag, no food, no drink.

I would be interesting in having some feedback from HFoF boutiques or managers of HF baskets who are using Risk Systems like RiskMetrics, Barra, FOFiX, etc.Thx.

<t>Dear htmlballsup,Following my intuition as opposed to "serious" quant analysis, I tend to think that positive return correlation (probably partly motivated by Manager's interest in smoothing earnings) is stronger for less liquid assets, i.e. higher for Distressed, MBS Arb and CB Arb than for L/S ...

<t>Anne Sophie,I personally find the assumptions made for the Herfindhal Index too strong / unrealistic. Basically, I do believe that there is a positive relationship between returns positive autocorrelation (return smoothing by the HF Mgr) and liquidity risk. However, the Herfindhal Index assumptio...

Has anybody a good idea to establish a relatively stationary relationship between a HFoF Drawdown and the Mean Correlation of its underlyings? How would you treat the path-dependent feature of the Drawdown?Thx.

<t>Hi,Never heared about Macaulay convexity, I only know of Macaulay duration. I was referring to Convexity as Gamma (second derivative of the portfolio price function). Frankly, I intuitively doubt that the Portfolio Gamma would be the weighted average Gamma of its underlyings. My case portfolio is...

Hi,Let's consider of a portfolio of various fixed income instruments. Is there a straight relationship / formula between the portfolio convexity and the individual convexities of its underlying instruments?Thx.

Aren't there any specific considerations for HF return swaps, e.g. delivery risk, collateral (can shares of HF be used?), etc.?Further, do you know of any counterparty active in HF return swaps dealing in Paris or London?Thx

Nope. We are a hedge fund of fund boutique.

Hello,Unfortunately, I have already contacted Edhec Risk. They are not of much help with collecting historical default data. Thks anyway.Cheers,

<t>Hi, The contemplated historical data for defaulted Hedge Fund consist of:- Default date,- Firm-wide assets under mgt before default,- Jurisdiction,- Regulatory body (if any),- Listed / Non-Listed,- Redemption Frequency,- Investment Strategy,- Track-record (i.e. Performances prior to default + Rec...

Hi, I am working on a HF Default Probability model and started with our internal historical data. Any idea how to retrieve data on the whole HF universe?Thks.Wilfried GehinRisk ManagerALTIGEFI riskmgt@altigefi.com