In my prior post, describing the August, 2009,
performance of the *Dynamic Trading Risk Factor*, I alluded to the fact that the source data,
the *Barclay Hedge* hedge fund indices, does
not accrue *atomically* — in fact it is gradually updated during the course of each month.

In prior posts, I pointed out that the final month's factor return is mostly little changed from that computed from earlier,
*incomplete*, data. As it should be, if the *Law of Large Numbers* is working it's usual magic. However, nature is often
a little more subtle than that, and *mankind* often deliberately so. It therefore falls to us to ask whether there is any bias
between the *latency* of a given fund's publication of its performance numbers and that same fund's performance *relative to the mean*
of all reporting funds? Our strong prior is that human frailty would lead the bearers of good news to rush it out as soon as possible; and,
in contrast, the bearers of bad news to wait a little longer than they should before revealing their shame.

The above chart illustrates my attempt to quantify this effect on the September, 2009, data, which represents the aggregated reported
August, 2009, returns of around 2,500 funds as reported during the month. Not possessing an *inside track* at the data vendor, I had to resort
to archiving and timestamping sampled copies of the cumulatively reported data. Thus, it was tedious to collect. Exhibited above is the mean relationship
between the relative error in the *Hedge Fund Index*'s reported average return and the relative proportion of the total number of funds
that had reported at that time. (In both cases, *relative* means relative to the final sample value I have for that month's datum.) From this
sample there does appear to be a very strong negative correlation, confirming our cynical prior from the earlier paragraph. Unfortunately, the
serial correlation of the errors complicates a statistical analysis of the *goodness of fit* — but *by eye* it appears
excellent.

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Comment RSSGraham wrote: Just a quick note. The purpose of this article is … [More]

Menswear wrote: Good job man [More]

Graham wrote: I forgot to point out that Generalized Error Distr… [More]

Graham wrote: The GARCH solver is using the Generalized Error Di… [More]

Soham Das wrote: However, the innovations show definite evidence fo… [More]

reg cleaning wrote: I really enjoyed your article and found it to be v… [More]

Soham Das wrote: What I am considering is, if we have a hypothetica… [More]

Graham wrote: Hi Soham, You can, in fact, predict the volati… [More]

Soham Das wrote: Hi Dr.Giller, Will it be plausible to ask, if the… [More]

Graham wrote: We're performing a linear regression of the portfo… [More]