Exploring Uncharted Territories of the Hedge Fund Industry: Empirical Characteristics of Mega Hedge Fund Firms

Abstract:     
This paper investigates mega hedge fund management companies that manage over 50% of the industry’s assets, incorporating previously unavailable data from those that do not report to commercial databases. We document similarities among mega firms that report performance to commercial databases compared to those that do not. We show that the largest divergences between the performance reporting and non-reporting can be traced to differential exposure to credit markets. Thus the performance of hard-to-observe mega firms can be inferred from observable data. This conclusion is robust to delisting bias and the presence of serially correlated returns.

Number of Pages in PDF File: 53

Keywords: hedge funds, asset management

JEL Classification: G11, G12, G23

working papers series