As of this afternoon, a total of 1149 of approximately 2,500 hedge funds
have reported data for October, 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.
Out-of-sample, our final forecast of
the return for September, 2009, was 1.10% (our early forecast
was 1.11%), and the realization was a substantial 3.25%. Our final
forecast for October, 2009, was 1.61%, yet our current estimate of the
performance for the most recent month is a loss of −0.20%. As a result
we are forcasting a 0.30% return for November, 2009. These forecasts represent an a
priori expected monthly return for any fund or firm that makes it's living by trading.