Journal of Financial and Quantitative Analysis · Volume 52, Issue 1 February 2017, pp. 1-35

对冲基金收益报告的战略性延迟和聚集

作者：Aeorge O. Aragon (W. P. Carey School of Business), Vikram Nanda (Rutgers Business School)

摘要：我们使用一个新的数据库来研究对冲基金每月业绩披露的及时性。对冲基金经理经常热衷于采取战略性择时：在表现差的月份延迟报告收益率，有时将其同表现较强的后一月收益情况合并报告，整体表现为“绩效平滑”。我们设想延迟倾向可以揭露出一定的操作风险和/或糟糕的管理质量。符合以上设想的是，若采用买入（卖出）历史择时（非择时）报告的基金的投资组合策略，可以获得了3％的年度风格调整收益率。当业绩表现差到一定程度时，虽然延迟报告可以使基金经理获得潜在好处，但也会使投资流入水平降低。我们的结论认为，无论对于对冲基金经理还是投资者，择时披露都是的一个重要的考虑因素。

Strategic Delays and Clustering in Hedge Fund Reported Returns

Aeorge O. Aragon (W. P. Carey School of Business), Vikram Nanda (Rutgers Business School)

ABSTRACT

We use a novel database to study the timeliness of hedge fund monthly performance disclosures. Managers engage in strategic timing: poor monthly returns are reported with delay, sometimes clustered with stronger subsequent performance, suggestive of “performance smoothing.” We posit that propensity to delay could reveal operational risk and/or poor managerial quality. Consistent with this, a portfolio strategy that buys (sells) funds with historically timely (untimely) reporting delivers 3% annual-style-adjusted returns. Investor flows are lower following reporting delays, although there are potential benefits to managers from delaying reporting when performance is sufficiently poor. We conclude that timely disclosure is an important consideration for hedge fund managers and investors.

原文链接：

https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/div-classtitlestrategic-delays-and-clustering-in-hedge-fund-reported-returnsdiv/D5F95BCCE248C91BF2D40373638C9444

翻译：熊进宗