Risk Measures for Autocorrelated Hedge Fund Returns
针对对冲基金收益序列自相关导致标准风险指标低估真实风险的问题，推导了经自相关调整的下行风险和系统性风险度量，并区分正态分布与厚尾分布，实证显示未调整指标严重低估风险。
Standard risk metrics tend to underestimate the true risks of hedge funds because of serial correlation in the reported returns. Getmansky, Lo, and Makarov (2004) derive mean, variance, Sharpe ratio, and beta formulae adjusted for serial correlation. Following their lead, we derive adjusted downside and global measures of individual and systemic risks. We distinguish between normally and fat-tailed distributed returns and show that adjustment is particularly relevant for downside risk measures in the case of fat tails. An empirical analysis reveals that unadjusted risk measures can considerably underestimate the true extent of individual and systemic risks for hedge funds.