Hedge Fund Forecast for February, 2009

In the post Do Hedge Fund Returns Trend? we showed evidence for first lag autocorrelation in the returns of our derived hedge fund risk factor series and predicted a return for that factor of 54 bps in January, 2009.

Partial results are in, and the factor for January is currently estimated at 188 bps. The forecast for February, 2009, is currently 101 bps. I'll update this as more data arrives.

The full data is here. As before, this data is based on the Barclay Hedge index data published on their website.