I want to perform some analysis on portfolio that consists of hedge funds (thus fund of hedge funds) In particular, I want to know the relationship between the funds during the downmarket.
The problem complicating this analysis is that hedge funds are not normally distributed. In fact, they are normally highly skewed and have fat tails. If they are normally distributed, then I could just use their pearson correlation coefficient. Since they are not, I think I have to use some sort of skewness, kurtosis, etc. measures.
How would I be performing the analysis if the underlying funds are not normally distributed?