How to Perform Regressions on 12-month blocks of my timeseries (hedge funds)?

11 June 2020 1 672 Report

I am trying to perform a series of regressions that Teo (2012, The Impact of More Frequent Portfolio Disclosure on Mutual Fund Performance, 101-2) did.

For a sample of about 300 funds, I'm trying to rank them according to their 12-month abnormal return (alpha, for CAPM, Fama-French, Carhart) for one particular month.

How would I do this, especially since the alpha is often statistically insignificant?

Nicolas Nervo

Not that hard, put them in a Excel file and do a standard deviation test and a regression analysis. You can easily see the outlier. Since you comparing mutual funds, you would have to view which one acted different on unusual trading days.

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