kaal:claim:2748096-036

Risk measures that are not adjusted for serial correlation in hedge fund returns can considerably underestimate the true extent of both individual and systemic hedge fund risk, so empirical work in this area must account for autocorrelation.

Source quote, verbatim

unadjusted risk measures can considerably underestimate the true extent of individual and systemic risks for hedge funds.

From

Wulf A. Kaal, Timothy A. Krause, Hedge Funds and Systemic Risk (2016), POST-CRISIS EVIDENCE ON THE SYSTEMIC RISK OF HEDGE FUNDS, p. 17
https://ssrn.com/abstract=2748096 · source PDF

Cite as

Wulf A. Kaal, Timothy A. Krause, Hedge Funds and Systemic Risk (2016). SSRN: https://ssrn.com/abstract=2748096

Holds when

applies to empirical studies of hedge fund returns

Classification

failuresupport: evidencedfailure: serial correlation understates measured riskfamily: measurement-and-metric-failureresearch-methodsrisk-and-incentiveseconomics

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