Comments on: Rooting Out Biases in Hedge-Fund Data http://blog.alliancebernstein.com/index.php/2012/12/14/rooting-out-biases-in-hedge-fund-data/?utm_source=rss&utm_medium=rss&utm_campaign=rooting-out-biases-in-hedge-fund-data The AllianceBernstein Blog on Investing Thu, 09 May 2013 22:36:06 +0000 hourly 1 http://wordpress.org/?v=3.4.1 By: Michael Harris http://blog.alliancebernstein.com/index.php/2012/12/14/rooting-out-biases-in-hedge-fund-data/#comment-29037 Michael Harris Sat, 15 Dec 2012 18:24:42 +0000 http://blog.alliancebernstein.com/?p=3288#comment-29037 Hi Daniel~ Interesting calculations. It would also be interesting to look at standard deviation and kurtosis. It turns out that hedge fund standard deviation is much lower than large cap US stocks but kurtosis is much higher meaning that when risk happens it is extreme. I have some data from Marc Odo, Director of Applied Research at Zephyr Associates, in my blog. He has done a lot of work in this area that you may find it useful. Here is the link: <a href="http://bit.ly/SYAWFS" rel="nofollow"> Hi Daniel~

Interesting calculations. It would also be interesting to look at standard deviation and kurtosis. It turns out that hedge fund standard deviation is much lower than large cap US stocks but kurtosis is much higher meaning that when risk happens it is extreme. I have some data from Marc Odo, Director of Applied Research at Zephyr Associates, in my blog. He has done a lot of work in this area that you may find it useful. Here is the link:

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