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 …

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 …

Authoritative, up-to-date research and analysis that provides a dramatic new understanding
of the rewards-and risks-of investing in CTAs Commodity Trading Advisors (CTAs) are an …

Standard tests for persistence in hedge fund performance are not consistent with investment
practices because they ignore performance reporting delay, overlook fund selection …

This article investigates the mortality of Commodity Trading Advisors (CTAs) over the 1990–
2003 period, a longer horizon than any encompassed in the literature. A detailed survival …

There's growing evidence that mutual funds that are more different from their benchmark
indices outperform. But how do we know whether or not a fund is truly unique? And how can …

We investigate the effect of leverage on Commodity Trading Advisors'(CTAs) performance
measurement. We find that leverage has important effects on the cross section of CTA …

The idea for this book came about when we realized that a collection of articles dealing with
quantitative and qualitative analyses of hedge funds could be a useful addition to current …

This study investigates the differences in mortality between systematic and discretionary
Commodity Trading Advisors, CTAs, over 1994-2009 period, the longest horizon than any …

CTA Performance Persistence: 1994-2010 Page 1 CTA Performance Persistence: 1994-2010
Marat Molyboga Co-Chief Risk Officer Efficient Capital Management www.efficientcapital.com …