July 2009 Data for the Dynamic Trading Risk Factor

by Graham Giller August 10, 2009 22:40

As of this morning, a total of 985 of approximately 2,500 hedge funds have reported data for July, 2009; so it's now time to update our data and forecasts for the dynamic trading risk factor. This gives us an early estimate of a number that is not much likely to change during the rest of the month.

Chart of the dynamic trading risk factor

Out-of-sample, our final forecast of the return for July, 2009, was 0.65% (our early forecast was 0.75%), and the realization was a substantial 3.87%. Hedge funds have done well, and we expect this to continue, so we are forcasting a 1.97% final return for July, 2009. These forecasts represent an a priori expected monthly return for any fund or firm that makes it's living by trading.

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About the Author

Graham Giller - Headshot GRAHAM GILLER
Dr. Giller holds a doctorate from Oxford University in experimental elementary particle physics. His field of research was statistical astronomy using high energy cosmic rays. After leaving Oxford, he worked in the Process Driven Trading Group at Morgan Stanley, as a strategy researcher and portfolio manager. He then ran a CTA/CPO firm which concentrated on trading eurodollar futures using statistical models. From 2004, he has managed a private family investment office.

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