Hedge fund survival lifetimes

Gregoriou, Greg N.

doi:10.1057/palgrave.jam.2240078

Cited by 96 publications

(60 citation statements)

References 5 publications

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“…Many of these large funds of hedge funds are also among the oldest in existence. Although a recent study suggested the 50 per cent survival time of funds of hedge funds is 7.5 years, 3 the funds of funds in this study have lasted for much longer. Regular monitoring and due diligence has allowed them to adapt to changing market and economic conditions by timely turnover of hedge fund managers.…”

Section: Datamentioning

confidence: 55%

Selecting funds of hedge funds: A survey of the 20 largest funds

Gregoriou

Rouah²

2003

Pensions Int J

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Section: Datamentioning

confidence: 55%

Selecting funds of hedge funds: A survey of the 20 largest funds

Gregoriou

Rouah²

2003

Pensions Int J

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“…Finally, we investigate which factors influence survival of distressed securities hedge funds. As discussed, prior studies differ with regard to the modeling of the liquidation process and with respect to the included variables (some authors use discrete-time binary choice models such as probit analysis, while others rely on Cox (1972) proportional hazard model (see Gregoriou, 2002, for a previous application in the general hedge fund context). We use a parametric logit model to analyze the effects of fund-specific characteristics on fund survival.…”

Section: Performance Persistence and Fund Survivalmentioning

confidence: 99%

Factors that affect the performance of distressed securities hedge funds

Bontschev¹,

Eling

2013

J Deriv Hedge Funds

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We present a four factor model to replicate distressed securities hedge fund returns. The model considers the returns of short put options, a short straddle on bonds, the spread between high yield and Treasury bonds, and stocks with small market capitalization. On the basis of this model, we conduct a multivariate analysis of how fund characteristics affect risk-adjusted performance. A high-water mark and performance-based compensation are positively related to risk-adjusted performance, which is in line with much of the hedge fund literature. In contrast to other work, however, we find that lock-up is negatively related to performance and that fund age is unrelated to performance. Our work provides a better understanding of the nature and critical factors for the success of distressed securities hedge funds.

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“…However, because this kind of bias cannot be avoided in the crosssectional sample by any means, we consider it a smaller trade-off than that stemming from the alternative consequence that the degree of survivorship bias would have varied in different persistence tests. On the other hand, as the attrition rate is highest among younger hedge funds (for example, see Brooks and Kat, 21 Brown et al, 33 Gregoriou, 34 36 The hedge fund style indices are from the TASS database.…”

Section: Datamentioning

confidence: 99%

Chasing performance persistence of hedge funds – Comparative analysis of evaluation techniques

Pätäri

Tolvanen

2009

J Deriv Hedge Funds

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Banking. His research interests include performance of equity investment strategies, measurement techniques of portfolio risk and performance measurement, particularly performance persistence of mutual funds and hedge funds. In addition to his academic duties, he has consulted for management of several institutional investors in the field of risk and performance measurement. Jussi Tolvanenis Investment Specialist for a large Scandinavian financial institution based in Sweden.Correspondence: Eero J. Pä tä ri Lappeenranta School of Business, Lappeenranta University of Technology, PO Box 20, FI-53851 LAPPEENRANTA, Finland E-mail: Eero.Patari@lut.fi ABSTRACT We apply two complement methodologies (that is, stacked cross-sectional regression and quartile portfolio approach) in detecting the performance persistence of five different hedge fund styles. In addition, we compare the results obtained by using model-free performance metrics to those obtained by using both standard alphas of multifactor models and their empirical Bayesian counterparts. The results show that both the degree and existence of performance persistence vary among hedge fund styles and, in addition, depend on performance metric employed. Based on the combination of 3-year selection period and the subsequent 1-year holding period, model-free performance metrics (such as the Sharpe ratio and its downside risk-based variants) are more sensitive to detecting performance persistence than are factor-based performance metrics. Correspondingly, the prediction power of empirical Bayesian alphas is better than that of standard OLS alphas. The strongest evidence of performance persistence within the sample is among event-driven funds, for which 10 out of 12 persistence tests performed indicate significant results.

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Hedge fund survival lifetimes

Cited by 96 publications

References 5 publications

Selecting funds of hedge funds: A survey of the 20 largest funds

Selecting funds of hedge funds: A survey of the 20 largest funds

Factors that affect the performance of distressed securities hedge funds

Chasing performance persistence of hedge funds – Comparative analysis of evaluation techniques

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