Message-ID: <4207205.1075856481168.JavaMail.evans@thyme> Date: Fri, 29 Sep 2000 10:09:00 -0700 (PDT) From: vince.kaminski@enron.com To: ron.baker@enron.com Subject: More hedge effectiveness testing Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Vince J Kaminski X-To: Ron Baker X-cc: X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_3\Notes Folders\Sent X-Origin: Kaminski-V X-FileName: vkamins.nsf Ron, The article I promised. Vince ---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 09/29/2000 05:15 PM --------------------------- "Andrew Kalotay" on 09/11/2000 01:27:39 PM Please respond to To: "Vincent Kaminski" cc: Subject: More hedge effectiveness testing Vince, Have you seen the latest version of our article? In a nutshell, it establishes both what's right and what's wrong with r-squared/regression. Essentially, r-squared is fine PROVIDED that the amount of the derivative optimal, but otherwise it makes little sense. Please let me know what you think about this. Regards, Andy Andrew Kalotay Associates, Inc. (212) 482-0900 andy@kalotay.com Visit our web-site http://www.kalotay.com - FAS133 article.pdf