Unobserved Performance of Hedge Funds
研究对冲基金未观测业绩，即报告总回报与基于公开持股推断的组合回报之差，发现高未观测业绩基金年化超额收益达6.36%，且与交易成本、季度内交易、衍生品使用等负相关，投资者关注不足会延迟对未观测业绩的反应。
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.