Early Reporting Effects on Hedge Fund and CTA Returns

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.