Dear All;I have the following situation :A fund of hedge fundsA diversified base of indexes (from commodities to mainstream indexes)My Goal : Achieving VaR per liquidity Bucket; per market. Main principple would be to identify and hedge a predictible risk without being able to unwind the position within a day.I think var/covar is far sufficient playing with confidence interval; however I'm wondering how to handle alpha carrying and beta hedging.I mean; if i'm hedging currency using straight forward or overexpose using future contract..Well in one cas, it has a role to play in position return even if its not part of if; thus it should be taken in account in return adjustmentHowever, it makes my return based on different level of market liquidity Another option would be to compute a VaR for everything outside the selection process, and then compute a var for everything that is selectionI'm looking for ideas, if anyone got some, even funny.