Purpose The purpose of this paper is to examine whether there is significant evidence that hedge fund managers engage in deceptive manipulation of their reported performance results. Design/methodology/approach A model of hedge fund performance has been developed using standard regression analysis incorporating dependent lagged variables and an autoregressive process. In addition, the extreme bounds analysis technique has been used to examine the robustness and sensitivity of the explanatory variables. Finally, the conditional influence of the global stock market’s returns on hedge fund performance and the conditional return behavior of the Hedge Fund Index’s performance have been explored. Findings This paper begins by identifying a model of hedge fund performance using passive index funds that is well specified and robust. Next, the lag structure associated with hedge fund returns has been examined and it has been determined that it seems to take the hedge fund managers two months to integrate the global stock market’s returns into their reported performance; however, the lagged variables were reduced from the final model. The paper continues to explore the smoothing behavior by conditioning the dependent lagged variables on positive and negative returns and find that managers are conservative in their estimates of positive performance events, but, when experiencing a negative result, they seem to attempt to rapidly integrate that effect into the return series. The strength of their integration increases as the magnitude of the negative performance increases. Finally, the performance of returns for both the Hedge Fund Index and the passive indices were examined and no significant differences between the conditional returns were found. Research limitations/implications The results of this analysis illustrate that hedge fund performance is not all that different from the performance of passive indices included in this paper, although it does offer investors access to a unique return distribution. From a management perspective, we are reminded that we need to be cautious about hastily arriving at conclusions about something that looks different or feels different from everything else, because, at times, our preconceived notions will cause us to avoid participating in something that may add value to our organizations. From an investment perspective, sometimes having something that looks and behaves differently from everything else, improves our investment experience. Originality/value This paper provides a well-specified and robust model of hedge fund performance and uses extreme bounds analysis to test the robustness of this model. This paper also investigates the smoothing behavior of hedge fund performance by segmenting the returns into two cohorts, and it finds that the smoothing behavior is only significant after the hedge funds produce positive performance results, the strength of the relationship between the global stock market and hedge fund performance is more economically significant if the market has generated a negative performance result in the previous period, and that as the previous period’s performance becomes increasingly negative, the strength of the relationship between the Hedge Fund Index and the global stock market increases.

中文翻译：

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对冲基金经理和欺骗行为：对业绩操纵的指控是否有效？

目的本文的目的是研究是否有大量证据表明对冲基金经理对其报告的业绩进行了欺骗性操纵。设计/方法/方法已使用标准回归分析开发了对冲基金业绩模型，该模型结合了因变量，滞后变量和自回归过程。此外，极限分析技术已用于检查解释变量的鲁棒性和敏感性。最后，探讨了全球股市收益对冲基金业绩的条件影响以及对冲基金指数业绩的条件收益行为。研究结果本文首先确定了使用指标明确且功能强大的被动指数基金对冲基金业绩的模型。下一个，已审查了与对冲基金收益相关的滞后结构，并确定对冲基金经理似乎需要两个月的时间才能将全球股市的收益纳入其报告的业绩；但是，滞后变量与最终模型相比有所减少。本文继续通过对正负收益条件下的因变量进行调整来探索平滑行为，并发现经理们对正绩效事件的估计较为保守，但是，当遇到负结果时，他们似乎试图迅速整合这种效应。归还系列。它们的集成强度随着负面性能的增加而增加。最后，对冲基金指数和被动指数的收益表现进行了检查，但有条件收益之间没有发现显着差异。研究的局限性/意义该分析的结果表明，对冲基金的表现与本文所包含的被动指数的表现并没有太大不同，尽管它确实为投资者提供了获得独特收益分配的途径。从管理的角度，提醒我们，对于匆忙得出看起来与众不同或与众不同的结论时，我们需要保持谨慎，因为有时我们的先入为主的观念将使我们避免参与可能增加某些事情。对我们组织的价值。从投资的角度来看，有时外观和行为与其他事物有所不同的事物会改善我们的投资经验。独创性/价值本文提供了一个对冲基金绩效的规范化且健壮的模型，并使用极限分析来测试该模型的健壮性。本文还通过将收益分成两个组别来研究对冲基金业绩的平滑行为，发现对冲基金只有在对冲基金产生积极的业绩结果，全球股票市场与对冲关系的强度之后才具有显着的平滑行为。如果市场在前一时期产生了负面的业绩结果，并且随着前一时期的表现变得越来越负面，则基金的表现在经济上更为重要。