| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9571 |
| 来源ID | Working Paper 9571 |
| An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns | |
| Mila Getmansky; Andrew W. Lo; Igor Makarov | |
| 发表日期 | 2003-03-17 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long-only equity portfolios and mutual funds. In this paper, we explore several sources of such serial correlation and show that the most likely explanation is illiquidity exposure, i.e., investments in securities that are not actively traded and for which market prices are not always readily available. For portfolios of illiquid securities, reported returns will tend to be smoother than true economic returns, which will understate volatility and increase risk-adjusted performance measures such as the Sharpe ratio. We propose an econometric model of illiquidity exposure and develop estimators for the smoothing profile as well as a smoothing-adjusted Sharpe ratio. For a sample of 908 hedge funds drawn from the TASS database, we show that our estimated smoothing coefficients vary considerably across hedge-fund style categories and may be a useful proxy for quantifying illiquidity exposure. |
| 主题 | Macroeconomics ; Monetary Policy |
| URL | https://www.nber.org/papers/w9571 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567193 |
| 推荐引用方式 GB/T 7714 | Mila Getmansky,Andrew W. Lo,Igor Makarov. An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns. 2003. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9571.pdf（656KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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