RT Journal Article
SR Electronic
T1 An Examination of Hedge Fund Survivorship Bias
and Attrition Before and During the Global
Financial Crisis
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 40
OP 52
DO 10.3905/jai.2011.13.4.040
VO 13
IS 4
A1 Xiaoqing Eleanor Xu
A1 Jiong Liu
A1 Anthony L. Loviscek
YR 2011
UL https://pm-research.com/content/13/4/40.abstract
AB The impact of the recent global financial crisis has been deep and broad, blanketing the financial and economic landscape and hammering the hedge fund industry. Using both active and inactive hedge fund return data from the CISDM database from January 1994 to March 2009, the authors measure survivorship bias and account for the attrition rates of hedge funds before and during the crisis. In contrast to their expectations, they do not find survivorship bias to be notably significant during the global financial crisis. However, they discover unprecedented attrition rates, along with record declines in assets under management and fund closures, during the crisis. In addition, the authors’ results from the pre-crisis period reveal that survivorship bias and attrition differ dramatically by strategy and size, yet this pattern disappears during the global financial crisis, as all strategies and sizes experienced unprecedented attrition, indicating that few funds were spared the crisis.TOPICS: Real assets/alternative investments/private equity, financial crises and financial market history, performance measurement