Style Consistency and Survival Probability in the Hedge Funds Industry

25 Pages Posted: 15 Jun 2001  

Pierre-Antoine Bares

affiliation not provided to SSRN

Rajna Gibson

University of Geneva - Geneva Finance Research Institute (GFRI)

Sébastien Gyger

affiliation not provided to SSRN

Date Written: February 13, 2001

Abstract

This study focuses on two problems that affect the choice of alternative investments, that is the style consistency of the manager and his survival probability. We first present a new quantitative approach to describe fund managers style consistency. We show, through hard and fuzzy clustering, that the investment style of a manager may depart over time from his reported style. Second, we apply a survival analysis method based on the Kaplan-Meier estimator, that takes into account the right-censorship of the data. A conditional survival analysis suggests that funds' investment styles, the size of their assets under management, their beta and style consistency can significantly affect their survival probability. Quantitative measures of style consistency and conditional survival probabilities thus offer useful information when selecting and monitoring hedge fund managers.

Suggested Citation

Bares, Pierre-Antoine and Gibson , Rajna and Gyger, Sébastien, Style Consistency and Survival Probability in the Hedge Funds Industry (February 13, 2001). EFA 2001 Barcelona Meetings; EFMA 2001 Lugano Meetings. Available at SSRN: https://ssrn.com/abstract=273737 or http://dx.doi.org/10.2139/ssrn.273737

Pierre-Antoine Bares (Contact Author)

affiliation not provided to SSRN

Rajna Gibson

University of Geneva - Geneva Finance Research Institute (GFRI) ( email )

40 Boulevard du Pont d'Arve
Geneva 4, 1211
Switzerland
+41.22.379.89.83 (Phone)

Sébastien Gyger

affiliation not provided to SSRN

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