The Divergence of High- and Low-Frequency Estimation - Implications for Performance Measurement
By  William Kinlaw ,  Mark Kritzman ,  David Turkington ,  State Street Associates
Mar 1, 2015

By Will Kinlaw, Mark Kritzman, and David Turkington.

Published in the Journal of Portfolio Management, Spring 2015.

We document the distortion that non-zero lagged correlations introduce to the Sharpe ratios within a universe of hedge funds, the information ratios of a universe of mutual funds, and the performance of risk parity strategies.

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