THE GLOBAL MACRO HEDGE FUND CEMETERY

Abstract

Journal of Derivatives AccountingVol. 01, No. 02, pp. 187-194 (2004) ARTICLESNo AccessTHE GLOBAL MACRO HEDGE FUND CEMETERYMASOUD ASGHARIAN, FERNANDO DIZ, GREG N. GREGORIOU, and FABRICE ROUAHMASOUD ASGHARIANDepartment of Mathematics and Statistics, McGill University, Montreal, QC, Canada Search for more papers by this author , FERNANDO DIZWhitman School of Management, Syracuse University, Syracuse, New York, USA Search for more papers by this author , GREG N. GREGORIOUSchool of Business and Economics, State University of New York, 101 Broad Street, Plattsburgh, New York 12901, USACorresponding author. Search for more papers by this author , and FABRICE ROUAHFaculty of Management, McGill University, Montreal, QC, Canada Search for more papers by this author https://doi.org/10.1142/S0219868104000154Cited by:3 PreviousNext AboutSectionsPDF/EPUB ToolsAdd to favoritesDownload CitationsTrack CitationsRecommend to Library ShareShare onFacebookTwitterLinked InRedditEmail AbstractThis study estimates the survival time distribution of the global macro class of hedge funds. We use methods of survival analysis to investigate how performance and nonperformance features of hedge funds could affect their lifetimes. We find that the effect of monthly returns and average assets under management is significant and has an impact on survival. We further discover that between 6 and 8 years of existence there is a sharp increase in the hazard of failure, which is most likely attributed to the Russian Ruble crisis of August 1998. The assumption by the media that many global macro hedge funds have been accused of failing due to their excessive leverage may in fact be wrong.Keywords:Hedge fund survivallife table estimatorKaplan–Meier estimator References Amin, G. S. and H. Kat (2002). Welcome to the dark side: hedge fund attrition and survivorship bias over the period 1994–2001. Working Paper, University of Reading, ISMA Centre, Reading, UK . Google Scholar Barès, P. A., R. Gibson and S. Gyger (2001). Style consistency and survival probability in the hedge fund industry. Working Paper, Swiss Federal Institute of Technology Lausanne EPFL and University of Zurich . Google Scholar Barry, R. (2002). Hedge funds: a walk through the graveyard. Working Paper, Applied Finance Center, Macquarue University, Sydney, Australia . Google Scholar Baquero, H., Horst, ter J. and M. Verbeek (2002). Survival, look-ahead bias and the performance of hedge funds. Working Paper, Erasmus University and Tilburg University, The Netherlands . Google Scholar Boyson, N. (2002). How are hedge fund manager characteristics related to performance, volatility and survival. Working Paper, Ohio State University . Google Scholar Brooks, C. and H. Kat (2001). The statistical properties of hedge fund index returns and their implications for investors. Working Paper, University of Reading ISMA Centre, Reading, UK . Google ScholarS. J. Brown, W. N. Goetzmann and J. Park, Journal of Finance 56(5), 1869 (2001), DOI: 10.1111/0022-1082.00392. Crossref, Google ScholarD. R. Cox, Journal of the Royal Statistical Society, Series B 34(2), 187 (1972). Google ScholarM. J. Howell, Journal of Alternative Investments 4(2), 57 (2001), DOI: 10.3905/jai.2001.319011. Crossref, Google Scholar Jen, P., C. Heasman and K. Boyatt (2001). Alternative asset strategies: early performance in hedge fund managers. Lazard Asset Management, London, UK . Google Scholar J. D. Kalbfleisch and R. L. Prentice , The Statistical Analysis of Failure Time Data , 2nd edn. ( John Wiley & Sons , New York, NY , 2002 ) . Crossref, Google ScholarB. Liang, The Journal of Financial and Quantitative Analysis 35(3), 309 (2000), DOI: 10.2307/2676206. Crossref, Google Scholar FiguresReferencesRelatedDetailsCited By 3Global MacroZura Kakushadze and Juan Andrés Serur14 December 2018References and Additional Reading17 August 2016Global Macro Investing3 October 2015 Recommended Vol. 01, No. 02 Metrics History KeywordsHedge fund survivallife table estimatorKaplan–Meier estimatorPDF download