Is There Hedge Fund Contagion?

We examine whether hedge funds experience contagion. First, we consider whether extreme movements in equity, fixed income, and currency markets are contagious to hedge funds. Second, we investigate whether extreme adverse returns in one hedge fund style are contagious to other hedge fund styles. To conduct this examination, we estimate binomial and multinomial logit models of contagion using daily returns on hedge fund style indices as well as monthly returns on indices with a longer history. Our main finding is that there is no evidence of contagion from equity, fixed income, and foreign exchange markets to hedge funds, except for weak evidence of contagion for one single daily hedge fund style index. By contrast, we find strong evidence of contagion across hedge fund styles, so that hedge fund styles tend to have poor coincident returns.

Hedge Fund Contagion and Liquidity

Using hedge fund indices representing eight different styles, we find strong evidence of contagion within the hedge fund sector: controlling for a number of risk factors, the average probability that a hedge fund style index has extreme poor performance (lower 10% tail) increases from 2% to 21% as the number of other hedge fund style indices with extreme poor performance increases from zero to seven. We investigate how changes in funding and asset liquidity intensify this contagion, and find that the likelihood of contagion is high when prime brokerage firms have poor performance (which would be expected to affect hedge fund funding liquidity adversely) and when stock market liquidity (a proxy for asset liquidity) is low. Finally, we examine whether extreme poor performance in the stock, bond, and currency markets is more likely when contagion in the hedge fund sector is high. We find no evidence that contagion in the hedge fund sector is associated with extreme poor performance in the stock and bond markets, but find significant evidence that performance in the currency market is worse when hedge fund contagion is high, consistent with the effects of an unwinding of carry trades.

On the predictability of ice avalanches

The velocity of unstable large ice masses from hanging glaciers increases as a power-law function of time prior to failure. This characteristic acceleration presents a finite-time singularity at the theoretical time of failure and can be used to forecast the time of glacier collapse. However, the non-linearity of the power-law function makes the prediction difficult. The effects of the non-linearity on the predictability of a failure are analyzed using a non-linear regression method. Predictability strongly depends on the time window when the measurements are performed. Log-periodic oscillations have been observed to be superimposed on the motion of large unstable ice masses. The value of their amplitude, frequency and phase are observed to be spatially homogeneous over the whole unstable ice mass. Inclusion of a respective term in the function describing the acceleration of unstable ice masses greatly increases the accuracy of the prediction

Index of pretreatment intensity predicts outcome of high-dose chemotherapy and autologous progenitor cell transplantation in chemosensitive relapse of Hodgkin's disease

Purpose To identify prognostic factors in patients with chemosensitive relapsed Hodgkin's disease treated by high-dose chemotherapy with autologous progenitor cell transplantation (HDC) and to compare the duration of treatment-free remission prior to HDC with the progression-free survival after HDC in individual patients. Patients and methods Forty-five consecutive patients were analyzed retrospectively. We devised an index of pretreatment intensity (IPTI) based number of different chemo- and radio-therapy regimens given between diagnosis and HDC and on the duration of disease. Results With a median follow-up of 47 months the post-transplant event-free survival (EFS) was 44% and the overall survival. (OAS) was 62% at four years. The IPTI allowed to discriminate between a low and a high-risk group with a four-year post-transplant EFS of 66% and 11% and a OAS of 87% and 28%, respectively (P = 0.0001). Of the 39 patients with sufficient follow-up after HDC, post-transplant EFS lasted on average ≥ 18.5 months longer than the pretransplant treatment-free remission. Conclusions HDC with the CBV regimen confers significant benefit to patients with chemosensitive relapsed Hodgkin's disease. The IPTI may help to select patients with a good response to HDC and to identify poor prognosis patients suitable for experimental protocols or palliative care onl