Hedge Funds: The Living and the Dead

@article{Liang2000HedgeFT,
  title={Hedge Funds: The Living and the Dead},
  author={Bing Liang},
  journal={Journal of Financial and Quantitative Analysis},
  year={2000},
  volume={35},
  pages={309 - 326}
}
  • Bing Liang
  • Published 1 February 2000
  • Economics
  • Journal of Financial and Quantitative Analysis
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… 
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Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases
Abstract It is well known that the pro forma performance of a sample of investment funds contains biases. These biases are documented in Brown, Goetzmann, Ibbotson, and Ross (1992) using mutual funds
The Information Content of Performance Track Records : Investment Style and Survivorship Bias in the Historical Returns of Commodity Trading Advisors by
Performance track records contain valuable information, as long as investors correct for the biases inherent in using surviving funds. This paper analyzes the effect of survivorship in private funds
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This article employs the 1975-84 quarterly holdings of a sample of mutual funds to construct an estimate of their gross returns. This sample, which is not subject to survivorship bias, is used in
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