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Hedge fund survival lifetimes

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Abstract:

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, marketing preferences and many other areas. By examining several predictor variables, the analysis demonstrates that some variables can be used to predict hedge fund mortality. We use the Product-Limit estimator, Life table method, Accelerated Failure Time Model and the Cox proportional hazards models to investigate the survival times of hedge funds over a 12-year period. The median (half-life) survival time of all hedge funds is exactly 5.50 years. It is found, however, that millions managed, redemption period, performance fee, leverage, monthly returns and minimum purchase have an impact on the mortality of hedge funds. It is also found that certain hedge fund classifications experience higher survival times than others.Journal of Asset Management (2002) 3, 237–252; doi:10.1057/palgrave.jam.2240078

Document Type: Research Article

DOI: http://dx.doi.org/10.1057/palgrave.jam.2240078

Publication date: December 1, 2002

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