A Reassessment of Hedge Fund Returns Using Daily Return Data
研究发现，用日数据测量对冲基金的因子暴露比月数据更显著，且日数据揭示对冲基金阿尔法更低、暴露于更多因子且这些暴露随时间变化更大，有助于改进投资者组合。
When measured with daily return data, hedge fund factor exposures are more statistically significant than when measured with monthly data. Consequently, daily data can significantly improve investors’ hedge fund portfolios. Furthermore, daily data reveal that hedge funds have lower alphas and are exposed to more factors, and these exposures are more time-varying, than monthly data suggest. Analysis of hedge fund exposures with a comprehensive universe of daily variables reveals the importance of a new commodity put factor and of new liquidity timing effects for factors other than the market.