Yes, I felt some foreshadowing would have been nice. I went back through the whole movie in my head to see if I'd missed something and all I came up with was the very beginning, when it told us that her mother's murder happened in 1991, and then said "ten years later." It was summer because they went to the beach, and then school must have started with Caroline's hair being cut off. Even if the caption had said "2001" instead of "ten years later" I may have clued in on - they're in NY, it's 2001, etc.
I was upset because I *really* liked the movie up until that point and thought it was very well done, although I would have liked a little more about the girl, whose name I can't recall right now. What were the effects of watching her mother be murdered, other than eating dessert first?