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.
