Return Smoothing and its Implications for Performance Analysis of Hedge Funds

2009 ◽  
Author(s):  
John Liechty ◽  
Jing-Zhi Huang ◽  
Marco Rossi
Keyword(s):  
Performance Analysis ◽  
Hedge Funds ◽  
Return Smoothing

scholarly journals Return smoothing and its implications for performance analysis of hedge funds

2018 ◽  
Vol 4 (4) ◽  
pp. 203-222 ◽  
Author(s):  
Jing-zhi Huang ◽  
John Liechty ◽  
Marco Rossi
Keyword(s):  
Performance Analysis ◽  
Hedge Funds ◽  
Return Smoothing

Return Smoothing and its Implications for Performance Analysis of Hedge Funds

2009 ◽  
Author(s):  
Jing-Zhi Huang ◽  
John Liechty ◽  
Marco Rossi
Keyword(s):  
Performance Analysis ◽  
Hedge Funds ◽  
Return Smoothing

scholarly journals Selection and Performance Analysis of Asia-Pacific Hedge Funds

2007 ◽  
Vol 10 (3) ◽  
pp. 7-29 ◽  
Author(s):  
Takeshi Hakamada ◽  
Akihiko Takahashi ◽  
Kyo Yamamoto
Keyword(s):  
Performance Analysis ◽  
Hedge Funds ◽  
Asia Pacific ◽  
And Performance

Benchmarking and Bias in Hedge Funds

2017 ◽  
Author(s):  
Jeffrey S. Smith ◽  
Kenneth Small ◽  
Phillip Njoroge
Keyword(s):  
Selection Bias ◽  
Hedge Funds ◽  
Hedge Fund ◽  
Academic Research ◽  
Fund Performance ◽  
Measurement Bias ◽  
Return Smoothing ◽  
Survivorship Bias ◽  
Hedge Fund Returns ◽  
Hedge Fund Performance

This chapter discusses investment benchmarking and measurement bias in hedge fund performance. A good benchmark should be unambiguous, investible, measurable, appropriate, reflective of current investment opinions, specified in advance, and accountable. Additionally, a good benchmark should be simple, easily replicable, comparable, and representative of the market that the benchmark is trying to capture. Several biases, such as database selection bias, survivorship bias, style classification bias, backfill bias, self-reporting bias, and return-smoothing bias exist that impede the process of creating a benchmark. These biases increase the difficulty of studying hedge fund returns and managerial skill. However, most of the academic research on hedge fund returns report positive alphas for hedge funds.

Nonparametric Hedge Funds and Replication Indices Performance Analysis: A Robust Directional Application

2012 ◽  
pp. 90-105
Author(s):  
Laurent Germain ◽  
Nicolas Nalpas ◽  
Anne Vanhems
Keyword(s):  
Performance Analysis ◽  
Hedge Funds

Performance analysis of Brazilian hedge funds

2011 ◽  
Vol 21 (3) ◽  
pp. 165-176 ◽  
Author(s):  
Gustavo A. Jordão ◽  
Marcelo L. de Moura
Keyword(s):  
Performance Analysis ◽  
Hedge Funds

Conditional Return Smoothing in the Hedge Fund Industry

2008 ◽  
Vol 43 (2) ◽  
pp. 267-298 ◽  
Author(s):  
Nicolas P. B. Bollen ◽  
Veronika K. Pool
Keyword(s):  
Hedge Funds ◽  
Serial Correlation ◽  
Hedge Fund ◽  
Cash Flows ◽  
Capital Flight ◽  
Present Evidence ◽  
Large Sample ◽  
Leading Indicator ◽  
Return Smoothing ◽  
Fund Industry

AbstractWe show that if true returns are independently distributed and a manager fully reports gains but delays reporting losses, then reported returns will feature conditional serial correlation. We use conditional serial correlation as a measure of conditional return smoothing. We estimate conditional serial correlation in a large sample of hedge funds. We find that the probability of observing conditional serial correlation is related to the volatility and magnitude of investor cash flows, consistent with conditional return smoothing in response to the risk of capital flight. We also present evidence that conditional serial correlation is a leading indicator of fraud.

Hedge Funds in Emerging Markets

2001 ◽  
Author(s):  
Gordon de Brouwer
Keyword(s):  
Emerging Markets ◽  
Hedge Funds

Human Performance Analysis Tool (HPAT)

2009 ◽  
Author(s):  
Milt Stretton
Keyword(s):  
Performance Analysis ◽  
Human Performance ◽  
Analysis Tool
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