Abstract
It is well known that the disappearance of hedge funds from a database may cause biases in estimating investment returns on these funds, although there is no consensus on why hedge funds stop reporting to data-gathering services. Some studies have suggested that poor or failing funds stop reporting, while others claim that it is the better-performing funds that stop reporting because they no longer need to attract new capital. Analysis of the TASS database reveals that hedge fund returns become significantly poorer at the end of a fund's reporting life. Other analysis here applies survival time techniques to examine fund's time to failure and changes in hazard rates (probabilities of failure) over time. Larger hedge funds and better-performing funds have lower hazard rates.
TOPICS: Performance measurement, style investing, statistical methods
- © 2007 Pageant Media Ltd
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