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Recovering delisting returns of hedge funds

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  • Hodder, James E.
  • Jackwerth, Jens Carsten
  • Kolokolova, Olga

Abstract

Numerous hedge funds stop reporting to commercial databases each year. An issue for hedgefund performance estimation is: what delisting return to attribute to such funds? This would be particularly problematic if delisting returns are typically very different from continuing funds' returns. In this paper, we use estimated portfolio holdings for funds-of-funds with reported returns to back out maximum likelihood estimates for hedge-fund delisting returns. The estimated mean delisting return for all exiting funds is small, although statistically significantly different from the average observed returns for all reporting hedge funds. These findings are robust to relaxing several underlying assumptions.

Suggested Citation

  • Hodder, James E. & Jackwerth, Jens Carsten & Kolokolova, Olga, 2008. "Recovering delisting returns of hedge funds," CoFE Discussion Papers 08/09, University of Konstanz, Center of Finance and Econometrics (CoFE).
    • Handle: RePEc:zbw:cofedp:0809
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    Cited by:

    1. Agarwal, Vikas & Fos, Vyacheslav & Jiang, Wei, 2012. "Inferring reporting biases in hedge fund databases from hedge fund equity holdings," CFR Working Papers 10-08 [rev.], University of Cologne, Centre for Financial Research (CFR).
    2. Agarwal, Vikas & Fos, Vyacheslav & Jiang, Wei, 2010. "Inferring reporting biases in hedge fund databases from hedge fund equity holdings," CFR Working Papers 10-08, University of Cologne, Centre for Financial Research (CFR).
    3. Vikas Agarwal & Vyacheslav Fos & Wei Jiang, 2013. "Inferring Reporting-Related Biases in Hedge Fund Databases from Hedge Fund Equity Holdings," Management Science, INFORMS, vol. 59(6), pages 1271-1289, June.
    4. Sevinc Cukurova & Jose M. Marin, 2011. "On the economics of hedge fund drawdown status: Performance, insurance selling and darwinian selection," Working Papers 2011-04, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.

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