TABLE 3: Forecasted values of the log-returns

i	date	one month variation (in per cent) of the S&P 500 index	one month variation (in per cent) of the HFRI Equity hedge fund index	observed one month return	forecasted one month return	observed six months return	forecasted six months return
1	31/01/1990	-6.88%	-3.34%
2	28/02/1990	0.85%	2.85%
3	31/03/1990	2.43%	5.67%
4	30/04/1990	-2.69%	-0.87%
5	31/05/1990	9.20%	5.92%
6	30/06/1990	-0.89%	2.52%	2.52E-02	6.55E-03
7	31/07/1990	-0.52%	2.00%	2.00E-02	1.18E-02
8	31/08/1990	-9.43%	-1.88%	-1.88E-02	1.10E-02
9	30/09/1990	-5.12%	1.65%	1.65E-02	4.48E-03
10	31/10/1990	-0.67%	0.77%	7.70E-03	6.66E-03
11	30/11/1990	5.99%	-2.29%	-2.29E-02	2.33E-03	2.694E-02	3.993E-02
12	31/12/1990	2.48%	1.02%	1.02E-02	1.63E-03	1.191E-02	7.308E-02
13	31/01/1991	4.15%	4.90%	4.90E-02	-2.97E-03	4.068E-02	6.786E-02
14	28/02/1991	6.73%	5.20%	5.20E-02	3.42E-03	1.158E-01	2.717E-02
15	31/03/1991	2.22%	7.22%	7.22E-02	6.43E-03	1.769E-01	4.062E-02
16	30/04/1991	0.03%	0.47%	4.70E-03	2.00E-02	1.734E-01	1.409E-02
17	31/05/1991	3.86%	3.20%	3.20E-02	1.53E-02	2.393E-01	9.814E-03
18	30/06/1991	-4.79%	0.59%	5.90E-03	1.64E-02	2.341E-01	-1.766E-02
19	31/07/1991	4.49%	1.41%	1.41E-02	2.28E-02	1.930E-01	2.071E-02
20	31/08/1991	1.96%	2.17%	2.17E-02	5.36E-03	1.586E-01	3.921E-02
21	30/09/1991	-1.91%	4.30%	4.30E-02	6.54E-03	1.271E-01	1.262E-01
22	31/10/1991	1.18%	1.16%	1.16E-02	1.34E-02	1.348E-01	9.517E-02
23	30/11/1991	-4.39%	-1.08%	-1.08E-02	1.18E-02	8.777E-02	1.026E-01
24	31/12/1991	11.16%	5.02%	5.02E-02	1.00E-02	1.357E-01	1.445E-01
25	31/01/1992	-1.99%	2.49%	2.49E-02	1.48E-02	1.478E-01	3.261E-02
26	29/02/1992	0.96%	2.90%	2.90E-02	1.72E-02	1.560E-01	3.990E-02
27	31/03/1992	-2.18%	-0.28%	-2.80E-03	1.35E-02	1.052E-01	8.335E-02
28	30/04/1992	2.79%	0.27%	2.70E-03	1.06E-02	9.548E-02	7.318E-02
29	31/05/1992	0.10%	0.85%	8.50E-03	1.59E-02	1.169E-01	6.176E-02
30	30/06/1992	-1.74%	-0.92%	-9.20E-03	8.66E-03	5.369E-02	9.231E-02
31	31/07/1992	3.94%	2.76%	2.76E-02	4.94E-03	5.646E-02	1.079E-01
32	31/08/1992	-2.40%	-0.85%	-8.50E-03	4.88E-03	1.796E-02	8.346E-02
33	30/09/1992	0.91%	2.51%	2.51E-02	4.50E-03	4.644E-02	6.531E-02
34	31/10/1992	0.21%	2.03%	2.03E-02	4.80E-03	6.481E-02	9.928E-02
35	30/11/1992	3.03%	4.51%	4.51E-02	4.37E-03	1.035E-01	5.308E-02
36	31/12/1992	1.01%	3.38%	3.38E-02	1.22E-02	1.513E-01	3.001E-02
37	31/01/1993	0.70%	2.09%	2.09E-02	1.30E-02	1.438E-01	2.966E-02
38	28/02/1993	1.05%	-0.57%	-5.70E-03	1.90E-02	1.471E-01	2.731E-02
39	31/03/1993	1.87%	3.26%	3.26E-02	1.22E-02	1.555E-01	2.913E-02
40	30/04/1993	-2.54%	1.30%	1.30E-02	1.62E-02	1.472E-01	2.654E-02
41	31/05/1993	2.27%	2.72%	2.72E-02	1.18E-02	1.275E-01	7.539E-02
42	30/06/1993	0.08%	3.01%	3.01E-02	1.04E-02	1.235E-01	8.066E-02
43	31/07/1993	-0.53%	2.12%	2.12E-02	1.36E-02	1.238E-01	1.195E-01
44	31/08/1993	3.44%	3.84%	3.84E-02	1.54E-02	1.737E-01	7.566E-02
45	30/09/1993	-1.00%	2.52%	2.52E-02	1.75E-02	1.653E-01	1.015E-01
46	31/10/1993	1.94%	3.11%	3.11E-02	1.84E-02	1.861E-01	7.300E-02
47	30/11/1993	-1.29%	-1.93%	-1.93E-02	1.91E-02	1.324E-01	6.430E-02
48	31/12/1993	1.01%	3.59%	3.59E-02	1.23E-02	1.388E-01	8.470E-02
49	31/01/1994	3.25%	2.35%	2.35E-02	1.28E-02	1.413E-01	9.576E-02
50	28/02/1994	-3.00%	-0.40%	-4.00E-03	1.20E-02	9.474E-02	1.095E-01
51	31/03/1994	-4.57%	-2.08%	-2.08E-02	7.95E-03	4.562E-02	1.158E-01
52	30/04/1994	1.15%	-0.37%	-3.70E-03	4.35E-03	1.033E-02	1.202E-01
53	31/05/1994	1.24%	0.41%	4.10E-03	3.93E-03	3.444E-02	7.632E-02
54	30/06/1994	-2.68%	-0.41%	-4.10E-03	-1.39E-03	-5.508E-03	7.920E-02
55	31/07/1994	3.15%	0.91%	9.10E-03	-5.35E-03	-1.950E-02	7.448E-02
56	31/08/1994	3.76%	1.27%	1.27E-02	-3.47E-03	-3.059E-03	4.868E-02
57	30/09/1994	-2.69%	1.32%	1.32E-02	4.48E-03	3.156E-02	2.639E-02
58	31/10/1994	2.08%	0.40%	4.00E-03	4.21E-03	3.953E-02	2.381E-02
59	30/11/1994	-3.95%	-1.48%	-1.48E-02	2.82E-03	1.996E-02	-8.331E-03
60	31/12/1994	1.23%	0.74%	7.40E-03	2.45E-03	3.174E-02	-3.169E-02
61	31/01/1995	2.43%	0.30%	3.00E-03	2.54E-03	2.550E-02	-2.064E-02
62	28/02/1995	3.61%	1.68%	1.68E-02	4.04E-03	2.965E-02	2.718E-02
63	31/03/1995	2.73%	2.09%	2.09E-02	2.54E-03	3.748E-02	2.555E-02
64	30/04/1995	2.80%	2.64%	2.64E-02	4.70E-03	6.063E-02	1.705E-02
65	31/05/1995	3.63%	1.22%	1.22E-02	9.33E-03	8.969E-02	1.477E-02
66	30/06/1995	2.13%	4.73%	4.73E-02	9.14E-03	1.329E-01	1.536E-02
67	31/07/1995	3.18%	4.46%	4.46E-02	1.59E-02	1.798E-01	2.448E-02
68	31/08/1995	-0.03%	2.93%	2.93E-02	1.89E-02	1.943E-01	1.535E-02
69	30/09/1995	4.01%	2.90%	2.90E-02	2.14E-02	2.038E-01	2.852E-02
70	31/10/1995	-0.50%	-1.44%	-1.44E-02	1.92E-02	1.560E-01	5.730E-02
71	30/11/1995	4.10%	3.43%	3.43E-02	1.72E-02	1.812E-01	5.608E-02
72	31/12/1995	1.74%	2.56%	2.56E-02	1.57E-02	1.567E-01	9.919E-02
73	31/01/1996	3.26%	1.06%	1.06E-02	1.32E-02	1.191E-01	1.188E-01
74	29/02/1996	0.69%	2.82%	2.82E-02	1.06E-02	1.179E-01	1.352E-01
75	31/03/1996	0.79%	1.90%	1.90E-02	1.07E-02	1.070E-01	1.211E-01
76	30/04/1996	1.34%	5.34%	5.34E-02	1.56E-02	1.832E-01	1.078E-01
77	31/05/1996	2.29%	3.70%	3.70E-02	1.85E-02	1.863E-01	9.766E-02
78	30/06/1996	0.23%	-0.73%	-7.30E-03	2.00E-02	1.482E-01	8.200E-02
79	31/07/1996	-4.57%	-2.87%	-2.87E-02	1.66E-02	1.036E-01	6.507E-02
80	31/08/1996	1.88%	2.63%	2.63E-02	8.76E-03	1.015E-01	6.613E-02
81	30/09/1996	5.42%	2.18%	2.18E-02	9.14E-03	1.045E-01	9.762E-02
82	31/10/1996	2.61%	1.56%	1.56E-02	5.59E-03	6.491E-02	1.163E-01
83	30/11/1996	7.34%	1.66%	1.66E-02	4.54E-03	4.396E-02	1.263E-01
84	31/12/1996	-2.15%	0.83%	8.30E-03	6.47E-03	6.037E-02	1.038E-01
85	31/01/1997	6.13%	2.78%	2.78E-02	1.19E-02	1.220E-01	5.374E-02
86	28/02/1997	0.59%	-0.24%	-2.40E-03	1.14E-02	9.067E-02	5.610E-02
87	31/03/1997	-4.26%	-0.73%	-7.30E-03	8.02E-03	5.961E-02	3.398E-02
88	30/04/1997	5.84%	-0.27%	-2.70E-03	4.68E-03	4.052E-02	2.753E-02
89	31/05/1997	5.86%	5.04%	5.04E-02	4.58E-03	7.511E-02	3.942E-02
90	30/06/1997	4.35%	1.97%	1.97E-02	7.34E-03	8.727E-02	7.370E-02
91	31/07/1997	7.81%	5.05%	5.05E-02	6.88E-03	1.113E-01	7.040E-02
92	31/08/1997	-5.74%	1.35%	1.35E-02	1.40E-02	1.290E-01	4.910E-02
93	30/09/1997	5.32%	5.69%	5.69E-02	1.86E-02	2.020E-01	2.842E-02
94	31/10/1997	-3.45%	0.39%	3.90E-03	2.43E-02	2.100E-01	2.779E-02
95	30/11/1997	4.46%	-0.93%	-9.30E-03	1.84E-02	1.412E-01	4.482E-02
96	31/12/1997	1.57%	1.42%	1.42E-02	9.80E-03	1.350E-01	4.199E-02
97	31/01/1998	1.02%	-0.16%	-1.60E-03	6.82E-03	7.874E-02	8.665E-02
98	28/02/1998	7.04%	4.09%	4.09E-02	6.72E-03	1.079E-01	1.172E-01
99	31/03/1998	4.99%	4.54%	4.54E-02	4.78E-03	9.585E-02	1.551E-01
100	30/04/1998	0.91%	1.39%	1.39E-02	9.83E-03	1.068E-01	1.154E-01
101	31/05/1998	-1.88%	-1.27%	-1.27E-02	1.26E-02	1.030E-01	6.026E-02
102	30/06/1998	3.94%	0.50%	5.00E-03	1.06E-02	9.297E-02	4.161E-02
103	31/07/1998	-1.16%	-0.67%	-6.70E-03	1.10E-02	8.738E-02	4.100E-02
104	31/08/1998	-14.58%	-7.65%	-7.65E-02	4.39E-03	-3.526E-02	2.904E-02
105	30/09/1998	6.24%	3.16%	3.16E-02	-8.70E-03	-4.800E-02	6.042E-02
106	31/10/1998	8.03%	2.47%	2.47E-02	-9.49E-03	-3.785E-02	7.819E-02
107	30/11/1998	5.91%	3.84%	3.84E-02	-4.50E-03	1.194E-02	6.498E-02
108	31/12/1998	5.64%	5.39%	5.39E-02	4.29E-03	6.118E-02	6.790E-02
109	31/01/1999	4.10%	4.98%	4.98E-02	5.03E-03	1.215E-01	2.662E-02
110	28/02/1999	-3.23%	-2.41%	-2.41E-02	2.63E-02	1.852E-01	-5.108E-02
111	31/03/1999	3.88%	4.05%	4.05E-02	1.56E-02	1.954E-01	-5.558E-02
112	30/04/1999	3.79%	5.25%	5.25E-02	1.37E-02	2.278E-01	-2.667E-02
113	31/05/1999	-2.50%	1.22%	1.22E-02	1.95E-02	1.969E-01	2.602E-02
114	30/06/1999	5.44%	3.80%	3.80E-02	2.72E-02	1.788E-01	3.055E-02
115	31/07/1999	-3.20%	0.61%	6.10E-03	1.60E-02	1.297E-01	1.686E-01
116	31/08/1999	-0.63%	0.04%	4.00E-04	1.99E-02	1.581E-01	9.733E-02
117	30/09/1999	-2.86%	0.35%	3.50E-03	1.55E-02	1.169E-01	8.488E-02
118	31/10/1999	6.25%	2.33%	2.33E-02	7.13E-03	8.592E-02	1.228E-01
119	30/11/1999	1.91%	6.76%	6.76E-02	7.55E-03	1.454E-01	1.746E-01
120	31/12/1999	5.78%	10.88%	1.09E-01	1.56E-02	2.235E-01	9.959E-02
121	31/01/2000	-5.09%	0.25%	2.50E-03	2.53E-02	2.191E-01	1.253E-01
122	29/02/2000	-2.01%	10.00%	1.00E-01	2.19E-02	3.405E-01	9.659E-02
123	31/03/2000	9.67%	1.73%	1.73E-02	3.03E-02	3.589E-01	4.357E-02
124	30/04/2000	-3.08%	-4.19%	-4.19E-02	3.70E-02	2.723E-01	4.614E-02
125	31/05/2000	-2.19%	-2.44%	-2.44E-02	2.26E-02	1.627E-01	9.711E-02
126	30/06/2000	2.39%	4.85%	4.85E-02	5.99E-03	9.945E-02	1.614E-01
127	31/07/2000	-1.63%	-1.58%	-1.58E-02	1.24E-02	7.938E-02	1.391E-01
128	31/08/2000	6.07%	5.35%	5.35E-02	-3.54E-03	3.376E-02	1.964E-01
129	30/09/2000	-5.35%	-1.08%	-1.08E-02	4.74E-03	5.201E-03	2.432E-01
130	31/10/2000	-0.49%	-2.01%	-2.01E-02	6.00E-03	2.807E-02	1.436E-01
131	30/11/2000	-8.01%	-4.30%	-4.30E-02	5.76E-03	8.473E-03	3.648E-02
132	31/12/2000	0.41%	3.16%	3.16E-02	-7.03E-03	-7.782E-03	7.690E-02
133	31/01/2001	3.46%	2.88%	2.88E-02	4.59E-03	3.718E-02	-2.107E-02
134	28/02/2001	-9.23%	-2.56%	-2.56E-02	-3.07E-03	-4.069E-02	2.877E-02
135	31/03/2001	-6.42%	-2.30%	-2.30E-02	-6.21E-03	-5.252E-02	3.656E-02
136	30/04/2001	7.68%	2.27%	2.27E-02	-6.29E-03	-1.114E-02	3.509E-02
137	31/05/2001	0.51%	0.90%	9.00E-03	4.25E-03	4.259E-02	-4.145E-02
138	30/06/2001	-2.50%	-0.32%	-3.20E-03	4.23E-03	7.419E-03	2.786E-02
139	31/07/2001	-1.08%	-1.06%	-1.06E-02	-4.85E-03	-3.116E-02	-1.829E-02
140	31/08/2001	-6.41%	-1.22%	-1.22E-02	-2.40E-03	-1.784E-02	-3.670E-02
141	30/09/2001	-8.17%	-3.73%	-3.73E-02	3.70E-03	-3.221E-02	-3.718E-02
142	31/10/2001	1.81%	1.85%	1.85E-02	-7.58E-03	-3.619E-02	2.577E-02
143	30/11/2001	7.52%	1.97%	1.97E-02	-7.25E-03	-2.597E-02	2.566E-02
144	31/12/2001	0.76%	1.99%	1.99E-02	-3.83E-03	-3.395E-03	-2.873E-02
145	31/01/2002	-1.56%	0.22%	2.20E-03	3.94E-03	9.498E-03	-1.429E-02
146	28/02/2002	-2.08%	-0.89%	-8.90E-03	3.89E-03	1.287E-02	2.241E-02
147	31/03/2002	3.67%	2.03%	2.03E-02	5.07E-03	7.347E-02	-4.462E-02
148	30/04/2002	-6.14%	0.17%	1.70E-03	5.29E-03	5.577E-02	-4.273E-02
149	31/05/2002	-0.91%	0.00%	-2.13E-18	3.90E-03	3.537E-02	-2.273E-02
150	30/06/2002	-7.25%	-2.63%	-2.63E-02	3.47E-03	-1.153E-02	2.390E-02
151	31/07/2002	-7.90%	-3.93%	-3.93E-02	-2.57E-03	-5.246E-02	2.360E-02
152	31/08/2002	0.49%	0.28%	2.80E-03	-7.13E-03	-4.128E-02	3.082E-02
153	30/09/2002	-11.00%	-1.96%	-1.96E-02	-9.70E-03	-7.877E-02	3.213E-02
154	31/10/2002	8.64%	0.56%	5.60E-03	-1.28E-02	-7.518E-02	2.366E-02
155	30/11/2002	5.71%	2.67%	2.67E-02	-1.10E-02	-5.049E-02	2.099E-02
156	31/12/2002	-6.03%	-1.14%	-1.14E-02	-5.42E-03	-3.596E-02	-1.532E-02
157	31/01/2003	-2.74%	-0.01%	-1.00E-04	3.66E-03	3.376E-03	-4.204E-02
158	28/02/2003	-1.70%	-0.78%	-7.80E-03	3.44E-03	-7.230E-03	-5.680E-02
159	31/03/2003	0.84%	-0.07%	-7.00E-04	3.95E-03	1.191E-02	-7.432E-02
160	30/04/2003	8.10%	2.43%	2.43E-02	3.83E-03	3.073E-02	-6.428E-02
161	31/05/2003	5.09%	4.08%	4.08E-02	3.65E-03	4.488E-02	-3.206E-02
162	30/06/2003	1.13%	1.52%	1.52E-02	5.84E-03	7.300E-02	2.218E-02
163	31/07/2003	1.62%	2.41%	2.41E-02	7.43E-03	9.896E-02	2.083E-02
164	31/08/2003	1.79%	2.38%	2.38E-02	1.29E-02	1.340E-01	2.393E-02
165	30/09/2003	-1.19%	0.78%	7.80E-03	1.81E-02	1.436E-01	2.322E-02
166	31/10/2003	5.50%	3.12%	3.12E-02	1.27E-02	1.513E-01	2.211E-02
167	30/11/2003	0.71%	1.14%	1.14E-02	1.06E-02	1.188E-01	3.554E-02
168	31/12/2003	5.08%	1.93%	1.93E-02	1.17E-02	1.233E-01	4.541E-02
169	31/01/2004	1.73%	1.95%	1.95E-02	1.13E-02	1.183E-01	8.010E-02
170	29/02/2004	1.22%	1.11%	1.11E-02	1.26E-02	1.044E-01	1.139E-01
171	31/03/2004	-1.64%	0.36%	3.60E-03	1.10E-02	9.979E-02	7.886E-02
172	30/04/2004	-1.68%	-2.08%	-2.08E-02	7.38E-03	4.433E-02	6.536E-02
173	31/05/2004	1.21%	-0.19%	-1.90E-03	3.97E-03	3.060E-02	7.245E-02
174	30/06/2004	1.80%	1.07%	1.07E-02	4.15E-03	2.190E-02	7.000E-02
175	31/07/2004	-3.43%	-1.88%	-1.88E-02	4.50E-03	-1.649E-02	7.810E-02
176	31/08/2004	0.23%	-0.37%	-3.70E-03	-5.65E-03	-3.088E-02	6.801E-02
177	30/09/2004	0.94%	1.99%	1.99E-02	-6.59E-03	-1.514E-02	4.512E-02
178	31/10/2004	1.40%	0.48%	4.80E-03	4.11E-03	1.060E-02	2.406E-02
179	30/11/2004	3.86%	3.37%	3.37E-02	4.19E-03	4.665E-02	2.517E-02
180	31/12/2004	3.25%	1.76%	1.76E-02	3.94E-03	5.380E-02	2.732E-02
181	31/01/2005	-2.53%	-0.58%	-5.80E-03	8.17E-03	6.776E-02	-3.344E-02
182	28/02/2005	1.89%	2.13%	2.13E-02	7.48E-03	9.455E-02	-3.890E-02
183	31/03/2005	-1.91%	-1.05%	-1.05E-02	8.24E-03	6.193E-02	2.492E-02
184	30/04/2005	-2.01%	-2.23%	-2.23E-02	6.12E-03	3.328E-02	2.541E-02
185	31/05/2005	3.00%	1.55%	1.55E-02	-1.73E-03	1.509E-02	2.387E-02
186	30/06/2005	-0.01%	1.96%	1.96E-02	-1.95E-03	1.709E-02	5.003E-02
187	31/07/2005	3.60%	2.95%	2.95E-02	4.32E-03	5.320E-02	4.572E-02
188	31/08/2005	-1.12%	0.74%	7.40E-03	4.73E-03	3.887E-02	5.045E-02
189	30/09/2005	0.69%	2.25%	2.25E-02	5.00E-03	7.351E-02	3.729E-02
190	31/10/2005	-1.77%	-1.87%	-1.87E-02	1.21E-02	7.746E-02	-1.036E-02
191	30/11/2005	3.52%	2.14%	2.14E-02	7.02E-03	8.373E-02	-1.164E-02
192	31/12/2005	-0.10%	2.32%	2.32E-02	7.29E-03	8.755E-02	2.618E-02
193	31/01/2006	2.55%	3.95%	3.95E-02	6.12E-03	9.812E-02	2.874E-02
194	28/02/2006	0.05%	0.02%	2.00E-04	1.13E-02	9.027E-02	3.036E-02
195	31/03/2006	1.11%	2.55%	2.55E-02	8.28E-03	9.347E-02	7.477E-02
196	30/04/2006	1.22%	1.76%	1.76E-02	1.38E-02	1.339E-01	4.286E-02
197	31/05/2006	-3.09%	-2.32%	-2.32E-02	1.38E-02	8.440E-02	4.455E-02
198	30/06/2006	0.01%	-0.54%	-5.40E-03	7.37E-03	5.409E-02	3.730E-02
199	31/07/2006	0.51%	-0.54%	-5.40E-03	4.48E-03	8.561E-03	7.002E-02
200	31/08/2006	2.13%	1.03%	1.03E-02	4.28E-03	1.875E-02	5.072E-02
201	30/09/2006	2.46%	0.16%	1.60E-03	-2.69E-03	-4.997E-03	8.591E-02
202	31/10/2006	3.15%	1.86%	1.86E-02	-4.46E-03	-4.019E-03	8.579E-02
203	30/11/2006	1.65%	2.00%	2.00E-02	4.77E-03	4.003E-02	4.502E-02
204	31/12/2006	1.26%	1.35%	1.35E-02	5.13E-03	5.979E-02	2.717E-02
205	31/01/2007	1.41%	1.16%	1.16E-02	7.51E-03	7.791E-02	2.596E-02
206	28/02/2007	-2.18%	0.63%	6.30E-03	7.69E-03	7.364E-02	-1.601E-02
207	31/03/2007	1.00%	1.02%	1.02E-02	8.54E-03	8.286E-02	-2.646E-02
208	30/04/2007	4.33%	1.95%	1.95E-02	7.41E-03	8.381E-02	2.896E-02
209	31/05/2007	3.25%	2.29%	2.29E-02	8.85E-03	8.690E-02	3.119E-02
210	30/06/2007	1.09%	-1.76%	-1.76E-02	8.85E-03	8.411E-02	4.589E-02