Hidden Survivorship in Hedge Fund Returns

被引:29
作者
Aggarwal, Rajesh K. [1 ]
Jorion, Philippe [2 ,3 ]
机构
[1] Univ Minnesota, Carlson Sch Management, Financial Markets & Inst, Minneapolis, MN 55455 USA
[2] Univ Calif Irvine, Paul Merage Sch Business, Irvine, CA USA
[3] Pacific Alternat Asset Management Co, Irvine, CA USA
关键词
PERFORMANCE; PERSISTENCE; BIASES;
D O I
10.2469/faj.v66.n2.1
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This study identifies a previously unreported bias in the TASS database. Owing to a merger with the Tremont database, 60 percent of the funds added to the TASS database between April 1999 and November 2001 are likely to be survivors (i.e., funds that were selected only from funds that were live as of 31 March 1999). The resulting survivorship bias is substantial, averaging more than 5 percent a year. What would normally be termed the backfill period actually represents hidden survivorship. A sorting algorithm to exclude these fund histories is proposed.
引用
收藏
页码:69 / 74
页数:6
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