How to pick a survivor

摘要

Results from a research paper written by Fabrice Rouah, a Phd candidate at McGill University in Montreal, indicates that attrition rates and survivorship bias in hedge funds is less significant once you separate the funds that have liquidated from those that simply stop reporting. "Current survival studies have treated all funds that exit the database as liquidated. We apply a competing risk model to account for the different exit types that hedge funds experience," notes Rouah in his paper, "Competing Risks in Hedge Fund Survival," which was funded by the Foundation for Managed Derivatives Research.