Unobserved Performance of Hedge Funds
Type
working paper
Date Issued
2019-09
Author(s)
Abstract (De)
We investigate hedge funds’ unobserved performance (UP), measured as the risk-adjusted return difference between a fund firm’s reported return and the hypothetical portfolio return derived from its long equity holdings disclosed on a quarterly basis. We find that high UP is (i) positively associated with measures of managerial incentives, discretion, and skill, and (ii) driven by a fund firm’s intraquarter trading in equity positions, derivatives usage, short selling, and confidential holdings. Fund firms with high UP outperform fund firms with low UP by more than 6% p.a. after accounting for typical hedge fund risk factors and fund characteristics.
Language
English
HSG Classification
contribution to scientific community
Publisher
SoF Working Paper
Subject(s)
Eprints ID
258176
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Name
Unobserved Performance 09_2019.pdf
Size
762.56 KB
Format
Adobe PDF
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