New research by Oxford University and Duke University suggests that voluntary disclosures by hedge funds about their monthly investment performance are unreliable. The researchers tracked changes to statements of historical performance of over 18,000 hedge funds recorded in publicly available hedge fund databases, at different points in time between 2007 and 2011. They found that as many as 40 per cent of funds (around 7,000 individual funds) revised their previously reported performance, sometimes many years later, with more than a fifth of funds later changing a previous monthly return by at least 0.5 per cent.

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