Hedge Fund Factor Exposures with Daily Data

52 Pages Posted: 14 Dec 2022

See all articles by Christos Antoniadis

Christos Antoniadis

Athens University of Economics and Business - Department of International and European Economic Studies

Spyros Skouras

Athens University of Economics and Business - Department of International and European Economic Studies

Date Written: November 27, 2022

Abstract

We find that performance evaluation of hedge funds at daily resolution suggests exposures to more factors and consequently less alpha than identical analyses at monthly resolution, due to the higher statistical precision of daily estimates. Additionally, using a comprehensive set of daily factors and predictors of factor exposures, we report several new findings for hedge fund returns, including exposure to commodity puts and daily variation in exposures as a function of market liquidity. Since hedge fund returns have been analyzed almost exclusively with monthly returns and a limited set of static factors, our findings suggest that much outstanding research on hedge fund alpha and risk exposures should be interpreted with caution.

Keywords: Hedge fund factor exposures, hedge fund performance valuation, daily factors

JEL Classification: G23, G12

Suggested Citation

Antoniadis, Christos and Skouras, Spyros, Hedge Fund Factor Exposures with Daily Data (November 27, 2022). Available at SSRN: https://ssrn.com/abstract=4287028 or http://dx.doi.org/10.2139/ssrn.4287028

Christos Antoniadis

Athens University of Economics and Business - Department of International and European Economic Studies ( email )

76 Patission Street
Athens, 104 34
Greece

Spyros Skouras (Contact Author)

Athens University of Economics and Business - Department of International and European Economic Studies ( email )

GR-10434 Athens
Greece

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