{"title":"Unobserved Performance of Hedge Funds","authors":"VIKAS AGARWAL, STEFAN RUENZI, FLORIAN WEIGERT","doi":"10.1111/jofi.13368","DOIUrl":null,"url":null,"abstract":"<div>\n \n <p>We investigate hedge fund firms’ unobserved performance (UP), measured as the risk-adjusted return difference between a firm's reported gross return and its portfolio return inferred from its disclosed long-equity holdings. Firms with high UP outperform those with low UP by 6.36% per annum on a risk-adjusted basis. UP is negatively associated with a firm's trading costs and positively associated with intraquarter trading in equity positions, derivatives usage, short selling, and confidential holdings. We show that limited investor attention can delay investors’ response to UP and lead to longer lived predictability of fund firm performance.</p>\n </div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 5","pages":"3203-3259"},"PeriodicalIF":7.6000,"publicationDate":"2024-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Finance","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/jofi.13368","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
We investigate hedge fund firms’ unobserved performance (UP), measured as the risk-adjusted return difference between a firm's reported gross return and its portfolio return inferred from its disclosed long-equity holdings. Firms with high UP outperform those with low UP by 6.36% per annum on a risk-adjusted basis. UP is negatively associated with a firm's trading costs and positively associated with intraquarter trading in equity positions, derivatives usage, short selling, and confidential holdings. We show that limited investor attention can delay investors’ response to UP and lead to longer lived predictability of fund firm performance.
我们研究了对冲基金公司的非观察绩效(UP),其衡量标准是公司报告的总回报与根据其披露的长期股权持有情况推断的投资组合回报之间的风险调整后回报差异。经风险调整后,UP 高的公司每年比 UP 低的公司高出 6.36%。UP与公司的交易成本呈负相关,与季度内股票仓位交易、衍生品使用、卖空和机密持股呈正相关。我们的研究表明,有限的投资者关注会延迟投资者对 UP 的反应,并导致基金公司业绩的可预测性更持久。
期刊介绍:
The Journal of Finance is a renowned publication that disseminates cutting-edge research across all major fields of financial inquiry. Widely regarded as the most cited academic journal in finance, each issue reaches over 8,000 academics, finance professionals, libraries, government entities, and financial institutions worldwide. Published bi-monthly, the journal serves as the official publication of The American Finance Association, the premier academic organization dedicated to advancing knowledge and understanding in financial economics. Join us in exploring the forefront of financial research and scholarship.