A measure of aggregate hedge fund illiquidity, from the paper: Kruttli, M.S., A.J. Patton and T. Ramadorai, 2015, "The Impact of Hedge Funds on Asset Markets," Review of Asset Pricing Studies, 5(2), 185-226. Version date: 2 June 2016 We compute a measure of hedge fund portfolio illiquidity using the following procedure: In each month, for all funds for which there are 12 prior months of return data available, we estimate the …first-order autocorrelation of returns. The aggregate illiquidity measure for that month is then the cross-sectional average of these autocorrelations across all funds in each month. See the published article for further details. Date KPR_rho 199412 -0.019 199501 0.006 199502 -0.010 199503 0.032 199504 0.046 199505 0.055 199506 0.073 199507 0.076 199508 0.104 199509 0.091 199510 0.067 199511 0.011 199512 0.001 199601 0.010 199602 -0.043 199603 -0.048 199604 -0.052 199605 -0.060 199606 -0.080 199607 -0.025 199608 -0.066 199609 -0.052 199610 -0.022 199611 -0.002 199612 -0.038 199701 -0.013 199702 -0.022 199703 -0.022 199704 -0.005 199705 -0.012 199706 -0.016 199707 0.008 199708 -0.055 199709 -0.065 199710 -0.120 199711 -0.072 199712 -0.044 199801 -0.069 199802 -0.091 199803 -0.099 199804 -0.089 199805 -0.094 199806 -0.111 199807 -0.062 199808 0.019 199809 0.043 199810 0.064 199811 0.062 199812 0.081 199901 0.097 199902 0.054 199903 0.035 199904 0.068 199905 0.057 199906 0.050 199907 0.041 199908 -0.046 199909 -0.072 199910 -0.072 199911 -0.077 199912 0.012 200001 -0.029 200002 -0.023 200003 -0.079 200004 -0.035 200005 0.023 200006 0.013 200007 0.001 200008 -0.026 200009 -0.049 200010 -0.006 200011 -0.027 200012 0.007 200101 -0.026 200102 -0.044 200103 -0.013 200104 -0.095 200105 -0.059 200106 -0.056 200107 -0.043 200108 -0.015 200109 -0.009 200110 -0.067 200111 -0.047 200112 -0.052 200201 -0.026 200202 -0.058 200203 -0.031 200204 -0.049 200205 -0.036 200206 -0.008 200207 0.075 200208 0.047 200209 0.097 200210 0.045 200211 0.062 200212 0.028 200301 0.046 200302 0.054 200303 0.033 200304 0.023 200305 0.113 200306 0.037 200307 0.056 200308 0.074 200309 0.065 200310 0.031 200311 0.073 200312 0.029 200401 -0.008 200402 -0.044 200403 -0.009 200404 0.017 200405 0.110 200406 0.112 200407 0.103 200408 0.143 200409 0.133 200410 0.132 200411 0.144 200412 0.168 200501 0.123 200502 0.109 200503 0.068 200504 0.096 200505 0.083 200506 0.094 200507 0.092 200508 0.089 200509 0.092 200510 0.027 200511 -0.092 200512 -0.041 200601 0.021 200602 0.027 200603 -0.063 200604 -0.099 200605 -0.111 200606 -0.021 200607 0.007 200608 0.004 200609 0.053 200610 0.091 200611 0.096 200612 0.065 200701 0.104 200702 0.118 200703 0.082 200704 0.196 200705 0.133 200706 0.023 200707 0.081 200708 0.115 200709 0.019 200710 0.066 200711 -0.031 200712 -0.018 200801 -0.003 200802 -0.032 200803 -0.074 200804 -0.155 200805 -0.133 200806 -0.151 200807 -0.148 200808 -0.047 200809 -0.076 200810 0.155 200811 0.132 200812 0.144 200901 0.140 200902 0.177 200903 0.190 200904 0.207 200905 0.255 200906 0.268 200907 0.263 200908 0.294 200909 0.192 200910 0.042 200911 -0.031 200912 -0.013 201001 -0.054 201002 -0.022 201003 -0.047 201004 -0.112 201005 -0.054 201006 0.044 201007 0.001 201008 -0.051 201009 -0.065 201010 -0.008 201011 -0.015 201012 -0.039 201101 -0.049 201102 -0.045 201103 -0.069 201104 -0.051 201105 -0.216 201106 -0.101 201107 -0.056 201108 0.057 201109 0.120 201110 -0.035 201111 -0.057 201112 -0.080 201201 -0.092 201202 -0.027 201203 -0.031 201204 -0.011 201205 -0.016 201206 -0.039 201207 -0.043 201208 -0.162 201209 -0.046 201210 0.016 201211 -0.004 201212 0.031 201301 0.010 201302 0.013 201303 0.021 201304 -0.043 201305 -0.070 201306 -0.039 201307 -0.094 201308 -0.118 201309 -0.147 201310 -0.137 201311 -0.131 201312 -0.157 201401 -0.153 201402 -0.185 201403 -0.197 201404 -0.135 201405 -0.144 201406 -0.095 201407 -0.082 201408 -0.043 201409 -0.066 201410 -0.050 201411 -0.081 201412 -0.064 201501 -0.042 201502 -0.071 201503 -0.113 201504 -0.119 201505 -0.136 201506 -0.140 201507 -0.112 201508 -0.076 201509 0.008 201510 -0.043 201511 -0.049 201512 -0.064