Hedge Fund Database 'Deconstruction': Are Hedge Fund Databases Half Full or Half Empty?

Posted: 22 May 2019

See all articles by Thomas Schneeweis

Thomas Schneeweis

University of Massachusetts Amherst - Isenberg School of Management

Hossein B. Kazemi

University of Massachusetts at Amherst - Isenberg School of Management

Edward Szado

Providence College

Date Written: January 23, 2013

Abstract

While the impact of backfill bias, survivor bias other database construction issues (e.g., onshore versus offshore) on hedge fund performance have received considerable research attention, the impact on hedge fund performance of differences in the underlying quality or number of reporting managers in various hedge fund databases has often been under reported. Most major hedge fund databases are based on ‘manager’ based reporting. As a result database quality is dependent on managers updating requested data. In addition, hedge fund databases were created and grew at different times. Thus large differences in the number of managers reporting as well as differences in other fund platform characteristics may exist between various databases. If these databases contained enough manager breadth and depth, results at the portfolio level could be similar across various databases, however, differences may still exist at the average manager level especially for small subsets of analysis (e.g., strategy, fee level, etc.). In this analysis we compare performance characteristics of two major databases often used in hedge fund analysis (CSFB/Tremont and CISDM). More specifically, we compare performance results at the strategy level for 1) all reporting funds, 2) funds denominated only in U.S. dollars and 3) a cleaned set of funds with duplicates removed (e.g. multiple share classes or currencies). Results show some return and risk differences between the two databases at the portfolio and average manager level. These differences, however, are often relatively small. In the end, the impact of database usage and the necessity to ‘deconstruct’ one’s database depends, in part, on whether one views the glass as half full or half empty.

Keywords: Hedge Fund Database, Biases, HFR, CISDM, TASS, Backfill, Survivorship, Duplication, Performance

Suggested Citation

Schneeweis, Thomas and Kazemi, Hossein B. and Szado, Edward, Hedge Fund Database 'Deconstruction': Are Hedge Fund Databases Half Full or Half Empty? (January 23, 2013). https://doi.org/10.3905/jai.2011.14.2.065 . Available at SSRN: https://ssrn.com/abstract=2205933 or http://dx.doi.org/10.2139/ssrn.2205933

Thomas Schneeweis

University of Massachusetts Amherst - Isenberg School of Management ( email )

Amherst, MA 01003-4910
United States
413-545-5641 (Phone)
413-545-3858 (Fax)

Hossein B. Kazemi

University of Massachusetts at Amherst - Isenberg School of Management ( email )

Amherst, MA 01003-4910
United States

Edward Szado (Contact Author)

Providence College ( email )

United States

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