What Do We Know About Institutional-Quality Hedge Funds?

Tuesday February 6, 2024


Using publicly available sources such as trade press and Form ADV filings, we compile a list of 561 “institutional-quality” hedge fund managers that each have at least 1 billion USD in primary hedge fund assets under management. We examine the availability of historical return information for funds operated by these managers and find 152 managers (27.1%) are not represented in commercial databases. Utilizing an alternative data source (PivotalPath) increases analyzable managers by 15.6%. Consistent with recent research based on confidential Form PF filings, we confirm that commercial databases exclude better-performing institutional-quality funds. The augmented dataset yields a fund sample with an alpha 0.8 percentage points higher and an adjusted R-squared 0.05 lower (using a 7-factor risk model) as well as 3.6 percentage points more fund life covered and a more recent set of funds. Funds unique to PivotalPath have alpha 2.4 percentage points higher, adjusted R-squared 0.11 lower, and are significantly larger when compared to funds unique to commercial databases.


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