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The Journal of Portfolio Management

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Primary Article

The Accuracy of Hedge Fund Returns

Bing Liang
The Journal of Portfolio Management Spring 2003, 29 (3) 111-122; DOI: https://doi.org/10.3905/jpm.2003.319889
Bing Liang
An assistant professor of finance at the Weatherhead School of Management at Case Western Reserve University in Cleveland (OH 44106-7235). bxl4@po.cwru.edu
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Abstract

How can the same hedge fund report different performance measures in different places? The answer is that auditing plays an important role in explaining the differences. Although the majority of hedge funds state that they have auditors, a significant proportion of these funds are not effectively audited. Funds that have gone out of business have been particularly less effectively audited than funds that have survived, and audited funds have much smaller return discrepancies than non-audited funds. There is a significantly positive correlation between the fund size and the auditing variable. Large funds tend to be audited and small funds not. Funds listed on exchanges, funds of funds, funds with broad investor representation, funds open to the public, funds invested in a single industrial sector, and unlevered funds have smaller return discrepancies than other funds. These findings suggest a compelling need for hedge fund auditing.

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The Journal of Portfolio Management
Vol. 29, Issue 3
Spring 2003
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The Accuracy of Hedge Fund Returns
Bing Liang
The Journal of Portfolio Management Apr 2003, 29 (3) 111-122; DOI: 10.3905/jpm.2003.319889

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The Accuracy of Hedge Fund Returns
Bing Liang
The Journal of Portfolio Management Apr 2003, 29 (3) 111-122; DOI: 10.3905/jpm.2003.319889
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