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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.

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1.Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Doriot Award for Best Private Equity Research Paper in 2022; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012 and 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010.