As of this morning, a total of 2,077 of approximately 2,500 hedge funds have
reported data for August, 2009; a little later than previously, it's now time
to update our data and forecasts for the dynamic trading risk
factor. This gives us an estimate of a number that is not much likely
to change during the rest of the month.
Out-of-sample, our final forecast of
the return for August, 2009, was 1.68% (our early forecast
was 1.97%), and the realization was a 1.87%. Hedge funds are continuing
to grow out of their catastrophic drawdown, and we expect this to continue, so
we are forcasting a 1.11% final return for September, 2009. These forecasts
represent an a priori expected monthly return for any fund or firm
that makes it's living by trading.