The article models how hedge fund returns behave during extreme market conditions using advanced statistical methods. By analyzing data from the financial crisis of 2008-9, the researchers found that hedge fund returns are clustered during times of high volatility and credit spreads. They used a mathematical approach called copula theory to show that the relationships between different hedge fund strategies are often asymmetric, meaning they don't always move together in the same way. This helps investors understand how different hedge fund strategies may perform in extreme market scenarios.