对冲基金的决定因素内部控制及费用【外文翻译】

外文翻译
原文
Determinants of Hedge Fund Internal Controls and Fees Material Source: Author: Gavin Cesar Hedge funds encompass a diverse range of privately managed investment vehicles that are exempt from a broad range of federal acts regulating investment vehicles. They are typically not exchange traded and not registered with the Securities and Exchange Commission (SEC). Hence, hedge funds are in general exempt from securities regulations that dictate internal controls that managers must implement and maintain, fees that managers can charge investors, and disclosures that fund managers must make to investors. Therefore, hedge funds are opaque investment vehicles that expose investors to the risk of substantial losses arising from fraud and/or financial misstatements. Hedge funds thereby provide a setting to examine the extent to which fund managers voluntarily implement internal controls to limit agency costs arising from fraud or financial misstatements, and the extent to which investors value such internal controls when determining the fees that they are willing to pay fund managers.
In this study, we examine the determinants of hedge fund internal controls and the association between internal controls and the fees that fund managers charge investors. We use a broad definition of internal controls that encompasses mechanisms designed to decrease the likelihood of fraud, and to increase the accuracy of asset valuations and performance disclosures made to investors. Some examples include the independent pricing of investment positions, signature protocols for transferring funds from bank and prime brokerage accounts, and the use of reputable service providers, such as auditors and administrators. The risks that hedge fund internal controls monitor and reduce could be more important than financial risks in determining hedge fund performance (Lo 2001, 30–31; Kundro and Feffer 2003).
To investigate the use of internal controls and their association with fees, we use a proprietary database of due diligence reports prepared by The Hedge Fund Due Diligence Group at Analytical Research. These reports contain an extensive array of
details regarding fund characteristics and internal controls, investment contract terms and provisions, investment style and portfolio characteristics, and fund and manager backgrounds. Investors commissioned these due diligence reports to evaluate whether to invest in the funds. Therefore, our sample represents a set of hedge funds that were actively seeking investors and for which investors initiated due diligence to evaluate the backgrounds, contract terms, and internal controls of the funds.
We find substantial variation in internal controls. Funds domiciled in the Caribbean are more likely to incorporate stricter signature authority for the transfer of funds, implement pricing mechanisms that involve external oversight, and employ more reputable outside service providers. These findings are consistent with investors demanding greater internal controls for funds domiciled in jurisdictions that provide investors with limited legal redress for fraud and financial misstatements. Furthermore, and also consistent with managers implementing internal controls to reduce agency conflicts, we find that younger funds are more likely to use more reputable external administrators and levered funds are more likely to implement more stringent external oversight of pricing and use more reputable auditors. Short selling funds, however, are more likely to protect proprietary information by implementing weaker internal controls that limit external oversight of investment position pricing.
Next, we argue that when considering a hedge fund investment, investors estimate potential agency costs arising from fraud and financial misstatements, and their expectations of these agency costs decrease in the quality of a fund’s internal controls. Consequently, we posit that managers of funds with more stringent internal controls can charge higher fees, all else equal. Consistent with this argument, we observe that internal controls that reduce managers’ opportunities to manipulate reported performance and/or commit fraud are positively associated with the percentage of investment profits received by the manager. Therefore, investors appear to mitigate moral hazard costs arising from fraud or manipulated reported returns when managers have greater discretion.
We supplement the above analysis of fees by examining the association between restatements and fees. Relevant to our setting, restatements are predetermined at the point of contracting. We find that managers of funds that have restated prior performance receive a significantly lower percentage of assets under management for managing the funds, providing further support for our prediction
that investors protect against the risk of future misstatements by paying lower fees.
Finally, we investigate whether internal controls are associated with future regulatory investigations of fraud and/or financial misstatements on the part of the fund and its managers. Such investigations can be considered an extreme form of poor performance because they are typically associated with fund liquidations and deeply discounted investor redemptions. We find that excluding the manager from setting and reporting the fund’s official net asset value to investors reduces the probability of such investigations by over one-third. Moreover, we find that proxies for reputational incentives and proxies for explicit monitoring and screening by leverage providers are associated with lower likelihoods of future regulatory investigations of fraud and/or financial misstatements.
We contribute to the internal control and hedge fund literatures. First, this study differs from previous research on internal controls by examining the supply and demand of actual internal controls determined within a market as opposed to the disclosure of internal control weaknesses. Further, research is generally based on public firms subject to securities regulations that limit the risks that investors face from weak internal controls. In contrast to public companies, internal control failures can be more important than financial risks in determining hedge fund performance. Moreover, research that investigates internal control choice in non-regulated settings focuses primarily on auditor choice (e.g., Chow 1982; Watts and Zimmerman 1983; Blackwell et al. 1998; Fortin and Pittman 2007). We also contribute by investigating a broad range of internal controls in a voluntary setting with the potential for substantial agency costs. Our empirical results provide several insights. We find in a voluntary setting that fund reputation substitutes for explicit internal controls and that legal domicile influences the choice of internal controls employed. We also find that weaker internal controls are associated with a lower percentage of investment profits received by the manager. Further, manager involvement in setting and reporting the fund’s official NA V increases the likelihood of future regulatory investigation for fraud and financial misstatement. But, we find no support for higher quality auditors reducing the likelihood of future regulatory investigations.
Second, we extend the literature on hedge funds by examining their internal operations. Research on hedge funds generally concentrates on investment returns. We extend this research by directly observing the internal controls employed by funds to reduce agency costs, and how these controls are associated with fees.
Moreover, we demonstrate that weak internal controls are associated with future regulatory investigations of fraud and financial misstatements and that reputational incentives and leverage providers reduce the likelihood that managers carry out actions that lead to such regulatory investigations.
Finally, we contribute to the recent debate over the regulation of hedge funds. In general, the SEC regards internal controls as a critical element of investor protection, and it recently increased its regulatory focus on hedge funds, proposing regulations that include mandatory disclosures and other internal controls (Smith 2006a, 2006b; Oesterle 2006). Hedge fund advocacy groups responded to these proposals by suggesting that funds follow “best practice” industry standard s that give consideration to the particular characteristics and circumstances of each fund (Managed Funds Association 2005). Consistent with the advocacy groups’ proposals, we find that funds systematically vary their internal controls to address potential agency costs. Furthermore, we show that internal controls are positively associated with investor fees, suggesting that investors evaluate and price the risks arising from internal control failures.
Hedge funds are managed investment vehicles. They are often privately held, generally comprised of wealthy individuals and institutional investors, and typically organized in the U.S. as a limited partnership or offshore as a corporation. There has been substantial growth in the hedge fund industry, both in the number of funds and in assets under management. As of the first quarter of 2008, hedge funds held more than $2.8 trillion in assets under management. Although hedge funds have grown tremendously and are under intense scrutiny regarding their operations and potential contribution to systemic risk, they are opaque, and therefore little is known about how they operate.
Unlike other investment vehicles, hedge funds are structured to be exempt from the public offering requirements of the Securities Act of 1933, the periodic reporting obligations of the Securities Exchange Act of 1934, and the registration requirements of the Investment Company Act of 1940 (Oesterle 2006). Additionally, to qualify for exemption, all non-accredited investors must be determined by the fund to be sophisticated, with knowledge and experience to evaluate the prospective investment. Therefore, a more descriptive definition of a hedge fund is an investment fund exempt from a list of specific federal acts regulating investment vehicles (Oesterle 2006). To ensure exemption from SEC regulation, hedge funds cannot undertake any form of general solicitation or advertising for their services or
sale of securities to the general public, and, therefore, must solicit investments through private placements only to those who are sophisticated enough to evaluate the investment and have sufficient wealth to bear the risk of the investment.
This minimal regulatory environment provides hedge funds substantially more flexibility than regulated investment vehicles, such as mutual funds. For example, hedge funds have greater discretion regarding valuation and reporting of their investments. Unlike other investment vehicles that are registered under the Investment Company Act of 1940, hedge funds have greater discretion to use leverage to finance their investment positions and can undertake substantial short selling. In addition, hedge funds can charge fees based on performance, whereas other investment vehicles, such as mutual funds, are restricted to fees based solely on assets under management.
When evaluating an investment in a hedge fund, investment advisors or accredited investors solicit information about the fund, with the investment terms provided in an offering circular or “private placement memorandum” (PPM). The PPM, and the subsequent executable limited partnership agreements and subscription agreements, lay out the fund’s operations and the investor’s contractual rights: the fund’s investment strategy, the fees agreed to be paid, the terms under w hich the investor can invest and withdraw funds, the investor’s ability to monitor the fund, the manner and frequency in which the fund will estimate and report performance, and the investor’s remedy rights in the case of a dispute. Because hedge funds are substantively exempt from securities regulations, the contractual terms laid out in the PPM and subsequent executable agreements represent the primary mechanisms in place to protect the investor’s investment.
译文
对冲基金的决定因素内部控制及费用
资料来源： 作者：加文卡萨尔对冲基金涵括了一系列各类私人管理的投资工具，这些车辆不同于极大部分的投资工具由联邦法令进行调节。

他们是典型的非互换贸易并且无需在美国证券交易委员会（SEC）中进行注册。

因此，对冲基金一般不受证券法规管理。

证券法规通常指示着对内部管理的进行，规定管理人员必须做的实施和维护以及其对投资者可收取的费用，还规定基金经理必须应在哪些方面对投资者做出公开说明。

因此，对冲基金是不透明的投资工具，使得投资者需承担遭受极大损失的风险，这些风险来自于诈骗或财务虚报。

因此对冲基金提供一种环境以此检验基金经理自愿实施内部控制的程度，从而限制来自诈骗或财务虚报带来的部门损失，同时检验投资者在支配他们愿意支付给基金经理的费用时对内部控制的重视程度。

在这项研究中，我们验证了对冲基金内部控制的决定因素，以及内部控制与基金经理对投资者收取的费用之间的联系。

我们用内部控制的一个广泛定义来说，内部控制包括了一些机构，这些机构是为减少诈骗可行性，同时增加资产估值与对投资者的业绩披露所设的。

一些例子包括了投资状况的自主定价、为银行和大宗经纪账户转移资金所签署的协议，以及有信誉的服务提供商，如审计师和管理人员。

对冲基金内部控制所监测及可减少的风险可能要比决定对冲基金的表现的金融风险更为重要(Lo 2001, 30–31; Kundro and Feffer 2003)。

为调查内部控制的使用及其与费用之间的联系，我们采用了“分析研究公司对冲基金尽职调查小组”所作的尽职报告中的专用数据。

这些报告包含了大量的详细信息的陈列，这些信息论及基金的特点与其内部控制、投资合同的条款与规定、投资方式与投资组合特征、基金与经理人的背景。

这些投资者委托尽职调查报告以此对是否要投资于该基金进行评估。

因此，我们的样本所代表的对冲基金正在积极寻找投资者，而投资者也着手进行尽职调查，以此评估该基金的背景、合同条款，以及基金的内部控制。

我们发现在内部控制中有着实质上的变化。

处于加勒比地区的基金更有易被纳入更加严格的权威签署中，这些权威签署被用于基金转移和实施包含有外部监督的定价机制，且有可能聘请更具信誉的外部服务供应商。

这些研究结果与投资者对于在辖区内有更好的内部控制的要求是相符的，对于诈骗与金融虚报，辖区为投资者提供了一定数量的法律补救。

此外，同样研究结果还与经理人为减少代理冲突而实施的内部控制相符，我们发现，越是新成立的基金就越
有可能聘用更具信誉的管理人员，而杠杆型基金则更易于实施更严格的价格外部监督，且任用更具信誉的审计员。

然而，卖空型基金则更易于实施较弱的内部控制，其对于投资市价的外部监督是很有限的。

接下来，我们认为在考虑投资对冲基金投资时，投资者估计的潜在的金融诈骗和财务虚报带来的代理损失，而在基金内部控制所保证的质量下他们对于这些代理损失的预计会有所减少。

结果，我们假定基金经理人对内部控制更为严格的话可以收取更高额费用，其它方面则都相同。

与该论点相一致，我们观察到，内部控制与经理获得的投资利率有正相关的联系，而内部控制会减少经理人操控上报的职能表现及/或进行诈骗的机会。

因此，若经理人有更高的自由决定权，投资者似乎就能减少因诈骗或是由经理人操纵报告得到回扣这样的道德风险的损失。

通过检验重申与费用间的联系，我们补充了以上几点对费用的分析。

与我们所设的背景环境有关的是，重申对于契约有着预先决定的作用。

我们发现，重申过自己优越的表现的基金经理人对于他管理基金所能得到的回报，只是在其管理下的资产的一个极低的百分比而已，这个现象为我们的假定——投资者为抵制未来财务虚报的风险而支付更少的费用——进一步做出了证明。

最后，我们调查了内部控制是否与未来监管调查有关，这些监管调查是针对基金及其经理人的欺诈和/或财务虚报的行为。

这类调查可被认为是表现欠佳的极端形式，因为它们通常与基金清算和大打折扣的投资者补偿金有特有的联系。

我们发现，将经理人排除在背景环境之外并向投资者报告基金法定净资产值，可以使这类调查的概率减少到2/3。

此外，我们发现，声誉为激励措施的代理机构和明确的由杠杆基金提供的监督和检查的代理机构则都有更小可能性与诈骗及/或财务虚报的未来监管调查有关。

我们对于内部控制和对冲基金文献的研究做出了贡献。

首先，本研究通过考察不同于先前的研究，它们只是通过检验某个内部控制的供应与需求来研究内部控制，而其研究的内部控制来自于一个反对揭露内部控制弱点的市场。

而且，研究一般是基于受证券法规限制的上市公司，这些法规限制了投资者因薄弱的内部控制而需面对的风险。

与上市公司相反，在决定对冲基金表现力上，内部控制的失败可能比金融风险的更为重要。

并且，在不受监管的环境下，调查内部控制挑选的研究主要集中于审计员的选择上(e.g., Chow 1982; Watts and Zimmerman 1983; Blackwell et al. 1998; Fortin and Pittman 2007)。

我们也通过大量调查在自愿环境下的内部控制而做出贡献，通过实际经验得到的研究结果让我们有了一些领悟。

我们发现，在一个自愿背景环境下基金的声誉替代了明确的内部控制，且合法居住影响了所聘用的内部控制的选择。

我们还发现，薄弱的内部控制由经理人赚得的投资收益百分率较低有关。

此外，经
理人参与环境中，以及报告该基金的官方资产净值，增加了对于诈骗和财务虚报的未来监管调查的可能性。

但是，我们并没有发现能力更好的审计员能减少未来监管调查可能性的证据。

其次，通过验证其内部运行，我们扩展了对冲基金文献。

对于对冲基金的研究普遍集中到了投资回报上。

我们通过直接观察内部控制扩展了这项研究，这些内部控制是基金为减少代理损失而使用的，同时还研究了这些内部控制是怎样与费用有所联系的。

此外，我们证明了内部控制薄弱都与金融欺诈和虚报未来的监管调查和声誉激励机制，并充分利用供应商降低的可能性，经理执行行动导致这种监管调查。

最后，我们帮助过的对冲基金的监管最近的辩论。

在一般情况下，美国证券交易委员会认为这是一个关键因素投资者保护的内部控制，而且它最近增加了对对冲基金的监管重点，提出法规，包括强制性的披露和其他内部控制（史密斯2006年;奥斯特利2006年）。

对冲基金的宣传组对这些建议做出回应，暗示该基金遵循“最佳实践”行业标准，考虑到具体特点及每一基金（管理基金公会2005年）的情况。

符合的'宣传团体的建议，我们发现，系统地改变其资金内部控制，以解决潜在的代理成本。

此外，我们表明，内部控制是正相关的投资费用，这表明投资者的风险评估和价格从内部控制的失败所引起。

对冲基金管理的投资工具。

它们通常是私人持有，一般富裕的个人和机构投资者组成，通常在美国举办的有限合伙制或作为公司海外。

目前已在对冲基金业的大幅增长，无论是在资金的数量和所管理的资产。

截至2008年第一季度，对冲基金持有，管理资产超过2.8万亿美元。

虽然对冲基金在激烈的突飞猛进和审议有关其行动和潜在的系统性风险的贡献，他们是不透明的，因此很少有人知道他们如何运作。

不像其他的投资工具，对冲基金的结构是从1933年证券法，证券交易法1934年公开发行的定期报告义务要求豁免，以及1940年投资公司法。

此外，有资格获得豁免，所有非认可的投资者必须由该基金是复杂的知识和经验，以评估潜在的投资。

因此，一个更具描述性定义，对冲基金是一种投资基金与投资工具的具体规范联邦行为清单豁免。

以确保从美国证券交易委员会监管豁免，对冲基金不能承担任何一般招揽或服务或证券出售给公众的广告形式，因此，必须征求以私人配股的投资仅那些谁是先进的，足以评估投资并有足够的财富来承担投资的风险。

这个最小的对冲基金的监管环境提供了大大超过监管的投资工具，如共同基金，灵活性。

例如，对冲基金有更大的自由裁量权有关的估价和投资报告。

不像其他的投资，是根据1940年投资公司法登记的车辆，对冲基金有更大的自由裁量权使用杠杆来资助他们的投资部位，可以承接大量卖空。

此外，对冲基
金可以收取费用根据工作表现，而其他投资工具，例如共同基金，只限于单纯的收费管理的资产。

对对冲基金进行投资评估的时候，投资顾问或认可的投资者征求关于基金的资料，以及在发售通函或“私募备忘录”（PPM）所提供的投资条件。

在“私募备忘录”PPM，和随后的执行有限合伙协议和认购协议，奠定了基金的运作和投资者的合约权利：本基金的投资策略，支付费用，投资者可以投资和收回资金的条款，投资者监测基金的能力，该基金进行评估和性能报告的方式和频率，以及纠纷出现情况下投资者进行补救措施的权利。

由于对冲基金获得了证券法规监管的实质性豁免，“私募备忘录”PPM和随后的执行协定规定的合同条款代表了保护投资者投资的主要机制。