Unobserved performance of hedge funds

Arbeitspapier

We investigate hedge fund firms' unobserved performance (UP), measured as the riskadjusted return difference between a fund firm's reported return and hypothetical portfolio return derived from its disclosed long equity holdings. Fund firms with high UP outperform those with low UP by 7.2% p.a. after accounting for typical hedge fund risk factors. In a horse-race, UP better forecasts fund performance than other predictors. We find that UP is positively associated with a fund firm's intraquarter trading in equity positions, derivatives usage, short selling, and confidential holdings. UP exhibits significant persistence but investors do not yet use it for manager selection.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CFR Working Paper ; No. 20-07

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Portfolio Choice; Investment Decisions ; Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
• Thema: Hedge fund skill ; Confidential Holdings ; Derivative Usage ; Short Selling ; Unobserved Performance

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Agarwal, Vikas ; Ruenzi, Stefan ; Weigert, Florian
• Ereignis: Veröffentlichung
• (wer): University of Cologne, Centre for Financial Research (CFR)
• (wo): Cologne
• (wann): 2020

Weitere Informationen

• Handle: http://hdl.handle.net/10419/224486
• Letzte Aktualisierung: 20.09.2024, 08:22 MESZ