July 2010 Data and August 2010 Forecast for the Returns of Hedge Funds

by Graham Giller August 10, 2010 23:59

It's time to update our forecasts of the monthly returns of hedge funds, based on our analysis of the Dynamic Trading Risk Factor — the underlying factor we hypothesize drives the returns of all funds engaged in systematic trading activity.

Time Series of the Dynamic Trading Risk Factor

In our last post on this topic, we forecast a July 2010 return of +7 bp. The realized return was +2.53%. Based on our model, we now forecast a total return for August 2010 of +1.27%.

 

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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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