# kaal:claim:2748096-036

**Claim.** 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.

**Type.** failure  **Support.** evidenced

**Holds when.**

- applies to empirical studies of hedge fund returns

**Source quote.**

> 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, page 17

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

**Verify.** sha256 of source PDF `8f30260f2c1db728b45c4f3b9b7c64358cf9d3217277bc3c63a910c32f87b508` at https://raw.githubusercontent.com/wulfkaal/Academic-Papers/main/papers/pdf/Kaal%20and%20Krause%20-%202016%20-%20Hedge%20Funds%20and%20Systemic%20Risk.pdf

**Failure mode.** serial correlation understates measured risk  (family: measurement-and-metric-failure)

**Topics.** research-methods, risk-and-incentives, economics

**Keywords.** serial-correlation, risk-measurement, underestimation, econometrics

**Canonical form.** This markdown file is the canonical hashed representation of the claim. Its sha256 is the content hash used for attestation.