Arbeitspapier
Risk Measures for Autocorrelated Hedge Fund Returns
Standard risk metrics tend to underestimate the true risks of hedge funds becauseof serial correlation in the reported returns. Getmansky et al. (2004) derive mean,variance, Sharpe ratio, and beta formulae adjusted for serial correlation. Followingtheir lead, adjusted downside and global measures of individual and systemic risksare derived. We distinguish between normally and fat tailed distributed returnsand show that adjustment is particularly relevant for downside risk measures in thecase of fat tails. A hedge fund case study reveals that the unadjusted risk measuresconsiderably underestimate the true extent of individual and systemic risks.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 11-084/2/DSF 23
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
Financial Institutions and Services: Government Policy and Regulation
- Thema
-
Hedge funds
Serial correlation
Systemic risk
VaR
Pareto distribution.
Hedgefonds
Kapitaleinkommen
Autokorrelation
Risiko
Messung
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Cesare, Antonio Di
Stork, Philip A.
de Vries, Casper G.
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Cesare, Antonio Di
- Stork, Philip A.
- de Vries, Casper G.
- Tinbergen Institute
Entstanden
- 2011
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