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| Author: | Gregoriou, G. N. |
| Title: | Hedge fund survival lifetimes |
| Journal: | Journal of Asset Management
2002 : DEC, VOL. 3:3, p. 237-252 |
| Index terms: | FUNDS METHODOLOGY MODELS ANALYTICAL REVIEW FINANCE |
| Language: | eng |
| Abstract: | This paper examines the survival analysis of hedge funds using various survival models. Survival analysis has been used in studies of the lifetimes of bonds, labour strikes, marketing preferences and many other areas. By examining several predictor variables, the analysis demonstrates that some variables can be used to predict hedge fund mortality. The authors use the Product-Limit estimator, Life table method, Accelerated Failure Time Model and the Cox proportional hazards models to investigate the survival times of hedge funds over a 12- year period. The median (half-life) survival time of all hedge funds is exactly 5.50 years. It is found, however, that millions managed, redemption period, performance fee, leverage, monthly returns and minimum purchase have an impact on the mortality of hedge funds. |
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