The Divergence of High- and Low-Frequency Estimation - Implications for Performance Measurement
By William Kinlaw, Mark Kritzman, David Turkington, State Street Associates
Apr 1, 2019
By Will Kinlaw, Mark Kritzman, and David Turkington
Published in the Journal of Portfolio Management, Spring 2015
We document the distortion that non-zero lagged correlations introduce to the Sharpe ratios within a universe of hedge funds, the information ratios of a universe of mutual funds, and the performance of risk parity strategies.
