Kruttli, Mathias S. - 2016
aggregate illiquidity of hedge fund portfolios, based on the cross-sectional average first order autocorrelation coefficient of … hedge fund returns, and show that it has strong and robust in- and out-of-sample forecasting power for 72 portfolios of … international equities, corporate bonds, and currencies over the 1994 to 2013 period. The forecasting ability of hedge fund …