27 Pages Posted: 3 Nov 2008 Last revised: 16 Mar 2009
Date Written: October 31, 2008
Numerous hedge funds stop reporting to commercial databases each year. An issue for hedge-fund performance estimation is: what delisting return to attribute to such funds? This would be particularly problematic if delisting returns are typically very different from continuing funds' returns. In this paper, we use estimated portfolio holdings for funds-of-funds with reported returns to back out maximum likelihood estimates for hedge-fund delisting returns. The estimated mean delisting return for all exiting funds is small, although statistically significantly different from the average observed returns for all reporting hedge funds. These findings are robust to relaxing several underlying assumptions.
Keywords: Return, Hedge Fund
JEL Classification: G11, G12
Suggested Citation: Suggested Citation
Hodder, James E. and Jackwerth, Jens Carsten and Kolokolova, Olga, Recovering Delisting Returns of Hedge Funds (October 31, 2008). Available at SSRN: https://ssrn.com/abstract=1294324 or http://dx.doi.org/10.2139/ssrn.1294324