Nonparametric Analysis of Hedge Funds Lifetimes

36 Pages Posted: 3 Dec 2008 Last revised: 15 Jun 2015

See all articles by Serge Darolles

Serge Darolles

Université Paris Dauphine - DRM-CEREG

Jean-Pierre Florens

University of Toulouse

Guillaume Simon

Capital Fund Management

Date Written: March 31, 2010

Abstract

Most of hedge funds databases are now keeping history of dead funds in order to control biases in empirical analysis. It is then possible to use these data for the analysis of hedge funds lifetimes and survivorship. This paper proposes two nonparametric speci fications of duration models. First, the single risk model is an alternative to parametric duration models used in the literature. Second, the competing risks model consider the two reasons why hedge funds stop reporting. We apply the two models to hedge funds data and compare our results to the literature. In particular, we show that a cohort e ect must be considered. Moreover, the reason of the exit is a crucial information for the analysis of funds' survival as for a large part of disappearing funds, exit cannot be explained by low performance or low level of assets.

Keywords: Hedge funds, Duration models, Nonparametric specifications, competing risks

JEL Classification: G00, G23

Suggested Citation

Darolles, Serge and Florens, Jean-Pierre and Simon, Guillaume, Nonparametric Analysis of Hedge Funds Lifetimes (March 31, 2010). Available at SSRN: https://ssrn.com/abstract=1310743 or http://dx.doi.org/10.2139/ssrn.1310743

Serge Darolles

Université Paris Dauphine - DRM-CEREG ( email )

place du Maréchal de Lattre de Tassigny
cedex 16
Paris, 75775
France

Jean-Pierre Florens

University of Toulouse ( email )

Manufacture des Tabacs
21 Allees de Brienne IDEI
31000 Toulouse
France
+33(0)5 61 12 85 96 (Phone)
+33(0)5 61 12 86 37 (Fax)

Guillaume Simon (Contact Author)

Capital Fund Management ( email )

23 rue de l'Université
Paris, 75007
France

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