Download or read book Survival Look Ahead Bias and the Persistence in Hedge Fund Performance written by Guillermo Baquero and published by . This book was released on 2009 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we analyze the persistence in the performance of hedge funds taking into account look-ahead bias (multi-period sampling bias). To do so, we model liquidation of hedge funds and analyze how it depends upon historical performance. Next, we use a weighting procedure that eliminates look-ahead bias in measures for performance persistence. In contrast to earlier results for mutual funds, the impact of look-ahead bias is exacerbated for hedge funds due to their greater level of total risk. At the four quarter horizon, look-ahead bias can be as large as 3.8%, depending upon the decile of the distribution. At the quarterly level, we find positive persistence in hedge fund returns, also after correcting for investment style. The empirical pattern at the annual level is also consistent with positive persistence, but its statistical significance is weak.
Download or read book Survival Look Ahead Bias and Persistence in Hedge Fund Performance written by Guillermo Baquero and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the performance persistence in hedge funds taking into account look-ahead bias (multi-period sampling bias). We model liquidation of hedge funds by analyzing how it depends upon historical performance. Next, we use a weighting procedure that eliminates look-ahead bias in measures for performance persistence. In contrast to earlier results for mutual funds, the impact of look-ahead bias is exacerbated for hedge funds due to their greater level of total risk. At the four-quarter horizon, look-ahead bias can be as much as 3.8%, depending upon the decile of the distribution. We find positive persistence in hedge fund quarterly returns after correcting for investment style. The empirical pattern at the annual level is also consistent with positive persistence, but its statistical significance is weak.
Download or read book Survival Look ahead Bias Ant and the Persistence in Hedge Fund Performance written by and published by . This book was released on 2002 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Survival Look Ahead Bias and the Performance of Hedge Funds written by Guillermo Baquero and published by . This book was released on 2007 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge funds databases are typically subject to high attrition rates because of fund termination and self-selection. Even when all funds are included up to their last available return, one cannot prevent that ex post conditioning biases affect standard estimates of performance persistence. In this paper we analyze the persistence in the performance of U.S. hedge funds taking into account look-ahead bias (multi-period sampling bias). To do so, we model attrition of hedge funds and analyze how it depends upon historical performance. Next, we use a weighting procedure that eliminates look-ahead bias in measures for performance persistence. The results show that the impact of look-ahead bias is quite severe, even though positive and negative survival-related biases are sometimes suggested to cancel out.
Download or read book Eliminating Look Ahead Bias in Evaluating Persistence in Mutual Fund Performance written by Jenke ter Horst and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Performance persistence studies typically suffer from ex-post conditioning biases. As stressed by Carhart (1997a) and Carpenter and Lynch (1999), standard methods of analysis on a survivorship free sample are subject to look-ahead biases. In this paper, we show how one can easily correct for look-ahead bias using weights based on probit regressions.First, we model how survival probabilities depend upon historical returns, fund age and aggregate economy-wide shocks, using two samples of US based 'income' and 'growth' funds. Subsequently, we employ a Monte Carlo study to analyze the size and shape of the look-ahead bias in performance persistence that arise when a survivorship free sample is used with standard techniques. In particular, we show that look-ahead bias induces a spurious U-shaped pattern in performance persistence. Finally, we demonstrate how a weighting procedure based upon probit regressions can be used to correct for this bias. In this way, we obtain look-ahead bias-corrected estimates of abnormal performance relative to a one-factor and the Carhart (1997b) four-factor model, as well as its persistence. The results suggest that in this sample, look-ahead bias is of minor importance and does not seriously affect estimates of persistence. Our bias-corrected results closely correspond to the findings of Carhart (1997b), implying that there is no evidence on a risk-adjusted basis for persistence in performance.
Download or read book Fund Liquidation Self Selection and Look Ahead Bias in the Hedge Fund Industry written by Jenke ter Horst and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A wide range of empirical biases hampers hedge fund databases. In this paper we focus upon survival-related biases and disentangle look-ahead biases due to self-selection of funds and due to fund termination. Self-selection arises because funds voluntarily report their information to data vendors and may decide to stop doing so. By extending existing methodology, we analyze persistence in hedge fund performance over the period 1994 2000, taking into account the above biases. The results show that look-ahead biases due to liquidation and self-selection enforce each other and may lead to overestimating expected returns by as much as 8% per year. Overall, the results are consistent with positive persistence in hedge fund returns at horizons of two and four quarters.
Download or read book Survivorship Bias and Attrition Effects in Measures of Performance Persistence written by Jennifer N. Carpenter and published by . This book was released on 2008 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: We generate samples of fund returns calibrated to match the U.S. mutual fund industry and simulate standard tests of performance persistence. We consider a variety of alternative return generating processes, survival criteria, and test methodologies. When survival depends on performance over several periods, survivorship bias induces spurious reversals, despite the presence of cross-sectional heteroskedasticity in performance. In samples which are largely free of survivorship bias, look-ahead biased methodologies and missing returns still affect statistics. In samples with no true persistence, the spurious persistence caused by survivorship bias in the presence of single-period survival criteria never reaches the magnitude found in recent empirical studies. When fund returns are truly persistent, the simulations reveal an attrition effect, distinct from survivorship bias. The systematic disappearance of poor performers causes mean persistence measures to differ from those in a hypothetical sample in which funds never disappear, even in tests which incorporate all data on disappearing funds. The magnitude and direction of this effect depends on the return generating process. We also examine the specification and power of the persistence tests. The t-test for the difference between top and bottom portfolios ranked by past performance is the best specified under the null and among the most powerful against the alternatives we consider.
Download or read book Biases in Hedge Funds Indices written by Vinzenz Benedikt and published by GRIN Verlag. This book was released on 2009-07 with total page 77 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2005 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 5,5 (1,5 in GER), University of St. Gallen, course: Doktorandenseminar; Corporate Finance, 49 entries in the bibliography, language: English, abstract: Nowadays, modern investors are well informed by Hedge Funds managers who are not getting tired promoting the merit of investing in hedge funds. These advisers draw elaborated graphs showing the benefits of hedge funds to an active managed portfolio. Investors have to believe in the advantages of shifting a significant part of their portfolio to hedge funds. In terms of the classical risk and return measures the advisers are right, high returns, low volatility and above all low correlations to the other asset classes in the portfolio. But as we know only the half is true. The misleading picture of volatility if measured with the classical portfolio instruments and the correlation effects is not solved in this paper. The research interest in this short paper is the distorted picture of returns given by the Hedge Funds Indices because of biases inherent to those indices. This paper gives an overview of the Hedge Funds Industry and the Hedge Funds Indices that are currently used by investors and highlights the differences between Hedge Funds and traditional Mutual Funds Indices. The problems of setting up those indices because of Hedge Fund idiosyncrasies are discussed. It is also shown why the performance of these indices is misleading due to construction problems. These systematic errors in the Indices are called biases. The paper provides an overview of the biases that can occur, when an Index is set up and why. We will introduce a classification of biases based on three phases. There will be an emphasis on the most popular bias, which is the survivorship bias. To support the existence of biases, the paper gives an overview of some empirical studies, which in general showed quite significant bia
Download or read book Mutual Fund Performance and Performance Persistence written by Peter Lückoff and published by Springer Science & Business Media. This book was released on 2011-01-22 with total page 604 pages. Available in PDF, EPUB and Kindle. Book excerpt: Peter Lückoff investigates why fund flows and manager changes act as equilibrium mechanisms and drive the performance of both previously outperforming and previously underperforming funds back to average levels.
Download or read book Hedge Fund Structure Regulation and Performance Around the World written by Douglas Cumming and published by Oxford University Press. This book was released on 2013-03-07 with total page 313 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book uses data from a multitude of countries to explain how and why hedge fund markets differ around the world. The authors consider international differences in hedge fund regulation which include, but are not limited to, minimum capitalization requirements, restrictions on the location of key service providers, and different permissible distribution channels via private placements, banks, other regulated or non-regulated financial intermediaries, wrappers, investment managers and fund distribution companies.
Download or read book The Hedge Fund Compliance and Risk Management Guide written by Armelle Guizot and published by John Wiley & Sons. This book was released on 2006-10-25 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Hedge Fund Compliance and Risk Management Guide provides you with a broad examination of the most important compliance and risk management issues associated with today’s hedge funds. Straightforward and accessible, this invaluable resource covers everything from how hedge funds continue to generate lucrative returns to why some use sophisticated instruments and financial engineering to get around fundamental regulatory laws.
Download or read book Reconsidering Funds of Hedge Funds written by Greg N. Gregoriou and published by Academic Press. This book was released on 2012-12-31 with total page 589 pages. Available in PDF, EPUB and Kindle. Book excerpt: How will the funds of hedge funds (FoHF) business have to change to survive in the wake of the 2008-2012 financial crisis? This new research provides valuable insight. Reconsidering Funds of Hedge Funds presents the first comprehensive views of UCITS as well as recent trends in due diligence, risk management, and hedge fund deaths and survivors. The book contains original chapters by 22 academics and 16 hedge fund professionals, and includes two sections on performance: one that looks at UCITS FoHF and one that deals with traditional FoHF performance. Most chapters examine aspects of the 2008-2012 financial crisis, and almost every chapter addresses fund of hedge funds' management process before, during, and after the crisis. Covers recent advances in risk management, due diligence, tail risk, and allocation Presents an in-depth analysis of UCITs Balances academic and professional viewpoints
Download or read book Hedge Fund Investing written by Kevin R. Mirabile and published by John Wiley & Sons. This book was released on 2013-01-07 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most up-to-date look at how to understand, and invest in, hedge funds A new updated set of end of chapter problems and test bank questions is now available for the first edition. This material now includes a selection of supplemental problems and test bank questions specifically related to portfolio financing tools and techniques. Hedge funds are an essential part of the alternative investing arena, and will continue to be so for the foreseeable future. It's important that those investing, or thinking about investing, with hedge funds know exactly what they are about. That's why Kevin Mirabile—a financial professional with over twenty years of business development, regulatory, financing, trading, and sales experience in the hedge fund sector—has created Understanding Hedge Fund Investing. Page-by-page, this reliable resource offers valuable insights into one of the most competitive parts of the investment world. Along the way, you'll become familiar with the evolution of hedge funds and their structure as well as discover what types of individuals and institutions invest using hedge funds. Mirable also takes the time to examine the risks of investing in hedge funds and talks about hedge fund financial statements and taxation. Provides complete coverage of this important investment vehicle, from its different types of investing strategies and styles to what it takes to be a hedge fund manager Multiple-choice questions follow each chapter to assess your comprehension of the topics covered A companion Website contains portfolio models that can be uploaded for use as well as supplementary material that allows you to learn in a hands-on fashion long after closing the book Hedge funds offer investors opportunities that aren't usually found elsewhere. But to benefit from them, you first must understand them. This book has the information you need to succeed at this difficult endeavor.
Download or read book Hedge Fund Activism written by Alon Brav and published by Now Publishers Inc. This book was released on 2010 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge Fund Activism begins with a brief outline of the research literature and describes datasets on hedge fund activism.
Download or read book Activist Vs Passivist Hedge Funds written by Ivan Kühne and published by Haupt Verlag AG. This book was released on 2011 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book World Of Hedge Funds The Characteristics And Analysis written by H Gifford Fong and published by World Scientific. This book was released on 2005-07-18 with total page 217 pages. Available in PDF, EPUB and Kindle. Book excerpt: The World of Hedge Funds is a compendium of distinguished papers focusing on the cutting-edge analysis of hedge funds. This area is arguably the fastest growing source of funds in the investment management arena. It represents an exciting opportunity for the investor and manager in terms of the range of return and risk available. A source of rigorous analysis is therefore both sought after as well as needed. This book aims to fill this gap by presenting an eclectic collection of papers contributed by influential academics and practitioners covering the characteristics and problems of hedge funds.
Download or read book Hedge Funds written by H. Kent Baker and published by Oxford University Press. This book was released on 2017-07-26 with total page 697 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge Funds: Structure, Strategies, and Performance provides a synthesis of the theoretical and empirical literature on this intriguing, complex, and frequently misunderstood topic. The book dispels some common misconceptions of hedge funds, showing that they are not a monolithic asset class but pursue highly diverse strategies. Furthermore, not all hedge funds are unusually risky, excessively leveraged, invest only in illiquid asses, attempt to profit from short-term market movements, or only benefit hedge fund managers due to their high fees. Among the core issues addressed are how hedge funds are structured and how they work, hedge fund strategies, leading issues in this investment, and the latest trends and developments. The authors examine hedge funds from a range of perspectives, and from the theoretical to the practical. The book explores the background, organization, and economics of hedge funds, as well as their structure. A key part is the diverse investment strategies hedge funds follow, for example some are activists, others focusing on relative value, and all have views on managing risk. The book examines various ways to evaluate hedge fund performance, and enhances understanding of their regulatory environment. The extensive and engaging examination of these issues help the reader understands the important issues and trends facing hedge funds, as well as their future prospects.
