Abstract

Using publicly available sources such as trade press and Form ADV filings, we compile a list of 649 hedge fund managers that each have at least 1 billion USD in primary hedge fund assets under management. Importantly, our interest lies not in the sheer number of hedge funds found in commercial databases, as many do not meet common investment standards; instead, we emphasize representation by significant, “institutional-quality” hedge funds. We examine the availability of historical return information for funds operated by these managers and find 178 managers (28%) are not represented in commercial databases. Utilizing an alternative data source (PivotalPath) increases the number of analyzable managers substantially. Consistent with recent research based on confidential Form PF filings, we confirm that many better-performing institutional-quality funds are missing from commercial databases. Our augmented data set yields a fund sample with an alpha about 0.4 percentage points higher (using a 7-factor risk model) as well as better time-series coverage and a more recent set of funds. Funds unique to PivotalPath have alpha 4.4 percentage points higher, adjusted R-squared 0.11 lower, and are significantly larger when compared to funds unique to commercial databases – all features consistent with the sample of hedge funds uniquely available in the Form PF data.

Authors

Prof. Gregory W. Brown, UNC Institute for Private Capital and Kenan-Flagler Business School
Prof. Christian Lundblad, UNC Kenan-Flagler Business School
William Volckmann, UNC Institute for Private Capital and Kenan-Flagler Business School