For example, in Figure 3 we plot the estimated probabilities of being in state 2, the high-volatility state, for the fixed-income arbitrage index for each month from January 1994 to August 2004.
Table 1 Number of Funds in the TASS Hedge Fund Databases, February 1977-August 2004 Number of TASS funds in Category Definition Live Graveyard Combined 1 Convertible arbitrage 127 49 176 2 Dedicated short bias 14 15 29 3 Emerging markets 130 133 263 4 Equity market neutral 173 87 260 5 Event driven 250 134 384 6 Fixed-income arbitrage 104 71 175 7 Global macro 118 114 232 8 Long/short equity 883 532 1,415 9 Managed futures 195 316 511 10 Multistrategy 98 41 139 11 Fund of funds 679 273 952 Total 2,771 1,765 4,536 Table 2 Summary Statistics for Monthly CSFB/Tremont Hedge Fund Index Returns and Various Hedge Fund Risk Factors, January 1994-August 2004 Sample Annualized Annualized CSFB/Tremont indexes size mean SD Hedge funds 128 10.
