Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide
78 Pages Posted: 21 Mar 2011 Last revised: 14 Nov 2013
Date Written: February 20, 2012
This paper studies the “confidential holdings” of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a delay through amendments to the Form 13F and are usually excluded from the standard databases. Funds managing large risky portfolios with non-conventional strategies seek confidentiality more frequently. Stocks in these holdings are disproportionately associated with information-sensitive events or share characteristics indicating greater information asymmetry. Confidential holdings exhibit superior performance up to twelve months, and tend to take longer to build. Together the evidence supports private information and the associated price impact as the dominant motives for confidentiality.
Keywords: Confidential treatment, ownership disclosure, 13F holdings, hedge funds
JEL Classification: G10, G19
Suggested Citation: Suggested Citation