Refreshed Hedge Fund Data

We have a new month and new data for the dynamic trading risk factor. Last month's forecast was for a profit of 96 bp; however, the realization was a loss of 96 bp.

The data series estimates update slightly to a sample mean of 43 bp/month drift (which has a t-Statistic of 2.30 and a p-value of 0.024). The sample standard deviation is 187 bp/month and the simple Sharpe ratio (the t-Statistic times the square root of 12) is 0.80.

I don't want to read a lot into the estimated form for the fit of a Generalized Error Distribution, after all there are only 98 data points in total, but we note that it has a spectral index of approximately 0.5 which is indicative of a platykurtotic distribution — i.e. one with censored tails. This should be viewed skeptically as it is inconsistent with the sample excess kurtosis of 3.73.

The forecast for March'09 is a loss of 9 bp.