Munich Personal RePEc Archive

Recovering Delisting Returns of Hedge Funds

Jackwerth, Jens Carsten and Kolokolova, Olga and Hodder, James E. (2008): Recovering Delisting Returns of Hedge Funds.

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Abstract

Numerous hedge funds stop reporting to commercial databases each year. An issue for hedgefund 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.

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