Hedge Funds: The Living and the Dead

Bing Liang

Journal of Financial and Quantitative Analysis, 2000, vol. 35, issue 3, 309-326

Abstract: In this paper, I examine survivorship bias in hedge fund returns by comparing two large databases. I find that the survivorship bias exceeds 2% per year. Results of survivorship bias by investment styles indicate that the biases are different across styles. I reconcile the conflicting results about survivorship bias in previous studies by showing that the two major hedge fund databases contain different amounts of dissolved funds. Empirical results show that poor performance is the main reason for a fund's disappearance. Furthermore, I find that there are significant differences in fund returs, inception date, net assets value, incentive fee, management fee, and investment styles forthe 465 common funds covered by both databases. Mismatching between reported returns andthe percentage change in NAVs can partially explain the differences in returns.

Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (175)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:jfinqa:v:35:y:2000:i:03:p:309-326_00

Access Statistics for this article

More articles in Journal of Financial and Quantitative Analysis from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().