Unsmoothing Returns of Illiquid Funds
研究发现投资非流动性资产的基金收益存在虚假自相关，传统去平滑方法低估了系统性风险，因此提出一种广义去平滑技术，应用于对冲基金和私募商业地产基金，显著改进了风险暴露和风险调整后绩效的测量。
Abstract Funds investing in illiquid assets report returns with spurious autocorrelation. Consequently, investors need to unsmooth these funds’ returns when evaluating their risk exposures. We show that funds with similar investments share a common source of spurious autocorrelation not fully resolved by traditional unsmoothing methods and thereby leading to underestimation of systematic risk. Thus, we propose a generalized unsmoothing technique and apply it to hedge funds and private commercial real estate funds. Our method significantly improves the measurement of funds’ risk exposures and risk-adjusted performance, especially for highly illiquid funds. Overall, the average illiquid fund alpha is lower than previously thought.