Alternative Investments: unsmoothing

on page 126 of Asset Allocation for Alternative Investments, paragraph 7.1.1 “Stale Pricing and Unsmoothing”:

“Because our returns are serially correlated, we want to unsmooth the returns to get a better estimate of volatility. The volatility calculated on the unsmoothed return series is 14.0%, significantly higher than the volatility estimated from the unsmoothed data.

I assume there is a typo in the bold part, shouldn’t it say “from the smoothed data”?


Looks like a typo to me as well.

It’s a typo.

Check the errata. If you don’t find it, alert CFA Institute. They have an official form now for reporting errors.