Could anybody please share with me a good Hedge Fund Due Dilligence Questionaire?Thanks a lot!

How do you select the factors?You select the factors such that the cumulative factor returns are good, am I right?If the factors are good for returns, why would we want to be neutral to these factors?

<t>Hi all,Factor-based EMN stat-arb funds are of mysterious to me.I am trying to guess what they do.How do I do market neutral quant equity based on multi-factor models?Taking FF model as an example, if I regress stock returns on the FF factorsr = beta1 * X1 + beta2*X2 + beta3*X3 + epsilonI then lon...

<t>Hi all,We are trying to slice a portfolio of 100 loans into tranches in those CDO-like structures. Lets say we specify the equity tranche to be 0% to 5%.How do we price our equity tranche?I have read a bunch of papers with CDO models but they all start with models (with unknown parameters) first ...

<t>Hi all,We are trying to slice a portfolio of 100 loans into tranches in those CDO-like structures. Lets say we specify the equity tranche to be 0% to 5%.How do we price our equity tranche?I have read a bunch of papers with CDO models but they all start with models (with unknown parameters) first ...

Hi all,I have been looking for QuantDeveloper's source code for a long while but couldn't find any. I couldn't find the link on their website for purchase.Could anybody please point me to the link?Many thanks!

that's to say, for certain amount of bond, how do I calculate how much CDS trade is needed for the hedge?thanks a lot!

<t>Hi all,Lets say after waiting for a few days, I've gotten a 8-dimensional Sharpe Ratio array...What's the best way to "visualize" or make sense out of the 8-D array?Are there tools in R that allow us to "explore" this multi-dimensional array?I am thinking of the following "flattened" structure, a...

<t>QuoteOriginally posted by: rpratJust a question? For short intervals of time (high freq trading) stocks movements adjust quite well to a random walk thus, correlations among stocks are low (iid events...) how can the portfolio theory be applied?But I am talking about correlation among strategies....

QuoteOriginally posted by: MartinghoulIt's a trade that was supposed to work on the back of inflation rising and also supply... The oil mkt didn't cooperate and rest is history.Do you think this trade makes sense? I mean, who can forecast the inflation over 30 years?

<r>QuoteOriginally posted by: secondmomentHi Mizhael,So this trade is a combination of two different concepts - a curve trade and a breakeven trade with TIPS. For the breakeven part, we buy/sell TIPS and sell/buy Treasuries - the difference in yield is the amount of inflation needed to break even on...

<r><URL url="http://www.bloomberg.com/news/2011-06-29/morgan-stanley-said-to-suffer-trading-loss-after-wager-on-u-s-inflation.html%22Traders"><LINK_TEXT text="http://www.bloomberg.com/news/2011-06-2 ... ml"Traders">http://www.bloomberg.com/news/2011-06-29/morgan-stanley-said-to-suffer-trading-l...

<t>Hi all,Lets say you have a basket of strategies: A, B, C, DA is really high frequency, based on real-time tick data;B is mid frequency, based on 30min bars;C is low frequency, and daily, every day, at End of Day, you might or might not have some trades;D is ultra low frequency, somewhat weekly, a...

<r>QuoteOriginally posted by: SkipI believe the idea is that trend-following strategies can be effectively modeled using lookback straddles, which comes from a famous paper by Fung & Hsieh, "The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers". <URL url="http://faculty.fu...

<t>QuoteOriginally posted by: undergrad86Well I don't think anyone has a silver bullet for when/where trend-following vs mean-reverting works. At least if they did they should be sipping margaritas on a yacht in the Riviera. Here though is how I think about it. Auto-correlation whether positive or n...