Thank you Acastaldo!

But from the Fed's standpoint, the Fed is receiving securities and lending out money. So it's a reverse repo.

Derivation is another name that comes to mind.

Send me your email and I'll send it to you. It's called "Quants Turn Toxic".

Can anyone provide me with the formulas for cross-sectional vol and cross-sectional covariance calculations? Many thanks

Anyone knows good up and coming FI relative value / arbitrage type hedge funds ? Thanks

Does anyone have a copy of this Litterman paper ? Thanks !

Sorry i only pasted the link to the abstract - ill add the paper

Here it is:http://www.ems2005.no/abstract/abstracts/149467.pdf

Don't get carried away - search the forums and google for article on Caissa (jonathan kinlay's former hedge fund) - and make sure you look at the actual results vs pro forma and back-test..... the F1000 fund you are talking about (+266.20%) looks like the one of the old Caissa funds.....

Another system is Bear's Measurisk....

I am familiar with RiskMetrics and Barra - but we use FOFiX at my shop...it basically allows to do factor decompositions and VaR calculation using either time series and actual positions....but it is a pain for actual positions...

yes - can you email me at ggonnot@gmail.com and I will forward you a couple of namesthanks

fars1d3s,Are you up 11% on your PA or do you actually run a global macro fund?thanks

The CAIA is a lot easier than the CFA but has far less recognition....I am studying for it because my company is paying for it.....