Millenium International Regression and Extrapolation

Another regression result follows, this one for Millenium International Ltd. The data I have access to for Milleniuim ends in October, 2007. Our standard regression, of the monthly returns of the fund onto the hedge fund trading risk factor, shows an alpha of 0.81 +/- 0.10 %/month and a beta of 0.26 +/- 0.06. Both estimates are highly significantly different from the null hypothesis of (0,1). Full regression results are below.

Again, my dataset excludes the Hedge Fund Crash of 2008, and we know that Millenium suffered along with its compatriots. In the cumulative performance chart (below) I've added three extropolations (green lines) which show the expected performance of Millenium had it: a, continued just as before; b, decreased it's alpha by a factor of 2 and increased it's beta by the same factor; c, as b with a factor of 3. Based on available public information, I think case (b) is a likely match. If anybody has real data, please send it to blog@gillerinvestments.com and I'll update these charts to reflect it.