June Dynamic Trading Risk Factor Data and Hedge Fund Performance Metrics

by Graham Giller July 05, 2010 11:04

Following on from May's difficult trading, we forecast a continued loss for the Dynamic Trading Risk Factor of 65 bp for June, 2010, and similar returns for correlated typical hedge funds. Early indications are that the numbers are coming in at a rate of −87 bp — marginally worse than the expectation. However, our early forecast for July, 2010, is now a slight gain of 7 bp.

Dynamic Trading Risk Factor Charts

 

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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. In 2009, he joined a California based hedge fund startup, concentrating on high frequency alpha and volatility forecasting. My updated resume is on LinkedIn.

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