We investigate hedge fund firms’ unobserved performance (UP), measured as the risk-adjusted return difference between a firm's reported gross return and its portfolio return inferred from its disclosed long-equity holdings. Firms with high UP outperform those with low UP by 6.36% per annum on a risk-adjusted basis. UP is negatively associated with a firm's trading costs and positively associated with intraquarter trading in equity positions, derivatives usage, short selling, and confidential holdings. We show that limited investor attention can delay investors’ response to UP and lead to longer lived predictability of fund firm performance.

中文翻译：

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对冲基金未观察到的表现


我们调查对冲基金公司的未观察业绩（UP），衡量公司报告的总回报与根据其披露的长期股权持有推断的投资组合回报之间的风险调整回报差异。在风险调整的基础上，UP 高的公司每年的表现比 UP 低的公司高 6.36%。 UP 与公司的交易成本呈负相关，与季度内股票头寸交易、衍生品使用、卖空和机密持有呈正相关。我们表明，有限的投资者注意力会延迟投资者对 UP 的反应，并导致基金公司业绩的可预测性更长。