韩韩_品职助教 · 2019年05月30日
同学你好,hedge fund和distressed security我们在之前讲过非常容易被高估,主要有以下几个原因:
Illiquid holdings bias the Sharpe ratio upward. 流动性差会高估sharpe ratio
Sharpe ratios are overestimated when investment returns are serially correlated (i.e., when returns trend), which causes a lower estimate of the standard deviation. This occurs with certain hedge fund strategies that may have a problem with stale pricing or illiquidity. Distressed and emerging market securities may be examples. 如果是自相关的收益分布,那么方差会小,也容易高估。
并且,sharpe ratio容易被操纵,讲到的几种方法也都是显示Sharpe ratio会被高估。