Return Smoothing, Liquidity Costs, and Investor Flows: Evidence from a Separate Account Platform
利用独立账户平台的对冲基金数据，研究发现33%的收益平滑源于管理报告方式，平台基金流动性导致年化1.7%的业绩下降，投资者资金追逐平台月度业绩而非关联基金。
We use a new hedge fund data set from a separate account platform to examine (1) how much of hedge fund return smoothing is due to main fund–specific factors, such as managerial reporting discretion and (2) the costs of removing hedge fund share restrictions. These accounts trade pari passu with matching hedge funds but feature third-party reporting and permissive share restrictions. We use these properties to estimate that 33% of reported smoothing is due to managerial reporting methods. The platform’s fund-level liquidity is associated with a 1.7% performance reduction on an annual basis. Investor flows chase monthly past performance on the platform but not in the associated funds. This paper was accepted by Neng Wang, finance.