Journal of Financial and Quantitative Analysis · Volume 52, Issue 1 February 2017, pp. 1-35

對沖基金收益報告的戰略性延遲和聚集

作者：Aeorge O. Aragon (W. P. Carey School of Business), Vikram Nanda (Rutgers Business School)

摘要：我們使用一個新的數據庫來研究對沖基金每月業績披露的及時性。對沖基金經理經常熱衷于采取戰略性擇時：在表現差的月份延遲報告收益率，有時将其同表現較強的後一月收益情況合并報告，整體表現為“績效平滑”。我們設想延遲傾向可以揭露出一定的操作風險和/或糟糕的管理質量。符合以上設想的是，若采用買入（賣出）曆史擇時（非擇時）報告的基金的投資組合策略，可以獲得了3％的年度風格調整收益率。當業績表現差到一定程度時，雖然延遲報告可以使基金經理獲得潛在好處，但也會使投資流入水平降低。我們的結論認為，無論對于對沖基金經理還是投資者，擇時披露都是的一個重要的考慮因素。

Strategic Delays and Clustering in Hedge Fund Reported Returns

Aeorge O. Aragon (W. P. Carey School of Business), Vikram Nanda (Rutgers Business School)

ABSTRACT

We use a novel database to study the timeliness of hedge fund monthly performance disclosures. Managers engage in strategic timing: poor monthly returns are reported with delay, sometimes clustered with stronger subsequent performance, suggestive of “performance smoothing.” We posit that propensity to delay could reveal operational risk and/or poor managerial quality. Consistent with this, a portfolio strategy that buys (sells) funds with historically timely (untimely) reporting delivers 3% annual-style-adjusted returns. Investor flows are lower following reporting delays, although there are potential benefits to managers from delaying reporting when performance is sufficiently poor. We conclude that timely disclosure is an important consideration for hedge fund managers and investors.

原文鍊接：

https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/div-classtitlestrategic-delays-and-clustering-in-hedge-fund-reported-returnsdiv/D5F95BCCE248C91BF2D40373638C9444

翻譯：熊進宗