Uncovering hedge fund skill from the portfolio holdings they hide

• Main Authors: Agarwal, Vikas, JIANG, Wei, TANG, Yuehua, YANG, Baozhong
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2013
• Subjects: Hedge Funds; Confidential holdings; 13F Filing; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/4602; https://ink.library.smu.edu.sg/context/lkcsb_research/article/5601/viewcontent/SSRN_id1787171.pdf
• Institution: Singapore Management University

This paper studies the “confidential holdings” of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a delay through amendments to Form 13F and are usually excluded from the standard databases. Funds managing large risky portfolios with nonconve...