White Paper Series
Hedge Fund Returns (2011)
Aiken, Clifford, and Ellis use a unique sample of hedge fund returns that have been calculated from hand-collected SEC filings. By matching these returns to two different commercial databases, they are able to split the sample into two groups: funds that report (or have reported) to a database and funds that never (or no longer) report. Their data captures the returns for 1,445 distinct hedge funds, yielding over 10,000 quarterly returns during the period 2004 through 2009. They find that the bias in commercially available hedge fund data is severe. Funds that do not report their returns to commercial databases have significantly worse performance than funds that do.
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