De Ryck, Pieter; Cole, Frank; Smedts, Jan; De Moor, Lieven - Faculteit Economie en Bedrijfswetenschappen, … - 2007
In this paper we show that hedge fund returns may suffer from excess smoothness, positive kurtosis and negative skewness. We argue that these distribution properties cause standard mean-variance statistics to underestimate the true variability and beta, and overrate the true performance. We...