| | Investment Performance Analysis - Autocorrelation |
 | | In a general context, "autocorrelation" (also called "serial correlation") is the correlation between observations of a time series with lagged observations of the same series. |
| | In a performance context, positive autocorrelation of period returns can result in a positive (negative) relatiev return in one period followed by another positive (negative) relative return the next period. |
| | The problem with positive autocorrelation is that it will have a lower volatility than the uncorrelated series. |
| www.andreassteiner.net /performanceanalysis/?Risk_Measurement:Advanced_Topics:Autocorrelation (250 words) |
