Hedge fund alpha and beta corrected for stale pricing

This paper introduces a novel method for estimating the alpha and beta of hedge fund indices that corrects for stale pricing in reported returns. This approach can be further used to estimate volatility and other risk measures. We apply this technique to a composite hedge fund index and six strategy indices provided by HFR. Once corrected for stale pricing, we find these indices exhibit higher betas and volatility with negative or statistically insignificant positive alpha

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Year of publication:	[2022]
Authors:	Godwin, CFA, Alexander
Publisher:	[S.l.] : SSRN
Subject:	Hedgefonds \| Hedge fund \| Betafaktor \| Beta risk \| CAPM \| Portfolio-Management \| Portfolio selection \| Kapitaleinkommen \| Capital income \| Börsenkurs \| Share price

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