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Early Reporting Effects on Hedge Fund and CTA Returns

Thomas Schneeweis, Richard B Spurgin and Sol Waksman
The Journal of Alternative Investments Fall 2006, 9 (2) 30-45; DOI: https://doi.org/10.3905/jai.2006.655935
Thomas Schneeweis
A professor of finance/director CISDM at the Isenberg School of Management, University of Massachusetts in Amherst, MA.
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  • For correspondence: schneeweis@som.umass.edu
Richard B Spurgin
An associate professor of finance at the Graduate School of Management, Clark University in Worcester, MA.
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  • For correspondence: rspurgin@clarku.edu
Sol Waksman
Founder and president of Barclay Trading Group, Ltd. in Fairfield, IA.
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  • For correspondence: sol@barclaygrp.com
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Abstract

Considerable academic research exists on the impact of the timing of release of corporate and investment information on performance measurement. For instance, accounting research has indicated that firms that delay monthly or quarterly reports generally report lower performance than firms which report early in the reporting cycle. Similarly, it could be expected that hedge funds and/or CTAs which report returns early in the monthly reporting cycle may have returns greater than similar hedge funds and/or CTAs which report later in the monthly reporting cycle. In this article, the relative performance of hedge funds and commodity trading advisors (CTAs) who report early in the monthly reporting cycle is compared with hedge funds and CTAs who report later in the reporting cycle. Reported early estimates and end of month hedge fund and CTA index values are used in the analyses. Results show that hedge funds, and to a lesser extent CTAs, who delay reporting returns often report lower performance than those who report early. In contrast to hedge funds, however, the average returns of CTAs reporting after the estimate is calculated is closer to the average of estimated returns.

TOPICS: Real assets/alternative investments/private equity, commodities, futures and forward contracts, performance measurement

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The Journal of Alternative Investments
Vol. 9, Issue 2
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Early Reporting Effects on Hedge Fund and CTA Returns
Thomas Schneeweis, Richard B Spurgin, Sol Waksman
The Journal of Alternative Investments Sep 2006, 9 (2) 30-45; DOI: 10.3905/jai.2006.655935

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Early Reporting Effects on Hedge Fund and CTA Returns
Thomas Schneeweis, Richard B Spurgin, Sol Waksman
The Journal of Alternative Investments Sep 2006, 9 (2) 30-45; DOI: 10.3905/jai.2006.655935
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