Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • PA Reports
  • Submit an article
  • More
    • About JAI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • CAIA Member Login
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • LinkedIn
  • Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Alternative Investments
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Alternative Investments

The Journal of Alternative Investments

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • PA Reports
  • Submit an article
  • More
    • About JAI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • CAIA Member Login
  • LinkedIn
  • Twitter
Article

Hedge Fund Database “Deconstruction”:
Are Hedge Fund Databases Half Full or Half Empty?

Thomas R. Schneeweis, Hossein Kazemi and Edward Szado
The Journal of Alternative Investments Fall 2011, 14 (2) 65-88; DOI: https://doi.org/10.3905/jai.2011.14.2.065
Thomas R. Schneeweis
is a director at the Institute for Global Asset and Risk Management (INGARM) in Amherst, MA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: schneeweis@som.umass.edu
Hossein Kazemi
is a research associate at the Institute for Global Asset and Risk Management (INGARM) in Amherst, MA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: kazemi@som.umass.edu
Edward Szado
is a research director at the Institute for Global Asset and Risk Management (INGARM) in Amherst, MA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: ed@cisdm.org
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 

Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

While the impact of backfill bias, survivor bias, and other database construction issues (e.g., onshore versus offshore) on hedge fund performance have received considerable research attention, the impact on hedge fund performance of differences in the underlying quality or number of reporting managers in various hedge fund databases has often been underreported. Most major hedge fund databases rely on manager-based reporting. As a result, database quality is dependent on managers’ updating requested data. In addition, hedge fund databases were created and grew at different times. Thus, large differences in the number of managers reporting as well as differences in other fund platform characteristics may exist between various databases. If these databases contained enough manager breadth and depth, results at the portfolio level could be similar across various databases; however, differences may still exist at the average manager level, especially for small subsets of analyses (e.g., strategy, fee level, etc.). In this analysis, the authors compare performance characteristics of two major databases often used in hedge fund analysis (CSFB/Tremont and CISDM). More specifically, they compare performance results at the strategy level for 1) all reporting funds, 2) funds denominated only in U.S. dollars, and 3) a cleaned set of funds with duplicates removed (e.g., multiple share classes or currencies). Results show some return and risk differences between the two databases at the portfolio and average manager levels. These differences, however, are often relatively small. In the end, the impact of database usage and the necessity of “deconstructing” one’s database depends, in part, on whether one views the glass as half full or half empty.

  • © 2011 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Alternative Investments: 14 (2)
The Journal of Alternative Investments
Vol. 14, Issue 2
Fall 2011
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Alternative Investments.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Hedge Fund Database “Deconstruction”: Are Hedge Fund Databases Half Full or Half Empty?
(Your Name) has sent you a message from The Journal of Alternative Investments
(Your Name) thought you would like to see the The Journal of Alternative Investments web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Hedge Fund Database “Deconstruction”:
Are Hedge Fund Databases Half Full or Half Empty?
Thomas R. Schneeweis, Hossein Kazemi, Edward Szado
The Journal of Alternative Investments Sep 2011, 14 (2) 65-88; DOI: 10.3905/jai.2011.14.2.065

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Hedge Fund Database “Deconstruction”:
Are Hedge Fund Databases Half Full or Half Empty?
Thomas R. Schneeweis, Hossein Kazemi, Edward Szado
The Journal of Alternative Investments Sep 2011, 14 (2) 65-88; DOI: 10.3905/jai.2011.14.2.065
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • DATABASE CONSTRUCTION AND EMPIRICAL RESEARCH
    • HISTORICAL RISK–RETURN ANALYSIS
    • EQUITY MARKET NEUTRAL
    • CONVERTIBLE ARBITRAGE
    • EVENT DRIVEN
    • EQUITY LONG–SHORT
    • HEDGE FUND DATA ANALYSIS: OTHER ISSUES
    • CONCLUSIONS
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • Solvency II: Regulation Change and Hedge * Fund Evolution
  • Qualitative Hedge Fund Characteristics and Fund Performance: Changes Over Time
  • Google Scholar

More in this TOC Section

  • Editor’s Letter
  • Practical Applications of A Performance Update—Hedge Funds versus Hedged Mutual Funds: An Examination of Equity Long—Short Funds
  • Practical Applications of Cryptocurrencies as an Asset Class? An Empirical Assessment
Show more Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 13 1600
 
NEW YORK
41 Madison Avenue, 20th Floor, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • LinkedIn
  • Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1520-3255 | E-ISSN: 2168-8435

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies