Survivor bias in commodity trading advisor performance

Schneeweis, Thomas; Spurgin, Richard B; McCarthy, David

doi:10.1002/(sici)1096-9934(199610)16:7<757::aid-fut2>3.0.co;2-n

Cited by 68 publications

(36 citation statements)

References 3 publications

(3 reference statements)

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“…9 TASS has adopted a policy of transferring funds from the Live to the Graveyard database if they do not report returns for an 8-to 10-month period. 10 For studies attempting to quantify the degree and impact of survivorship bias, see Baquero, Horst, and Verbeek (2002), Brown et al (1992) and Park (1999, 2001a,b), Carpenter and Lynch (1999), Hsieh (1997b, 2000), Horst, Nijman, and Verbeek (2001), Hendricks, Patel, and Zeckhauser (1997), and Schneeweis and Spurgin (1996). 11 TASS defines returns as the change in net asset value during the month (assuming the reinvestment of any distributions on the reinvestment date used by the fund) divided by the net asset value at the beginning of the month, net of management fees, incentive fees, and other fund expenses.…”

Section: Multi-strategymentioning

confidence: 99%

Sifting Through the Wreckage: Lessons From Recent Hedge-Fund Liquidations

Getmansky

Mei

2005

The World of Hedge Funds

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Section: Multi-strategymentioning

confidence: 99%

Sifting Through the Wreckage: Lessons From Recent Hedge-Fund Liquidations

Getmansky

Mei

2005

The World of Hedge Funds

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“…Together, these four categories account for 71.9% of the funds in the Combined database. Figure 1 shows that the relative proportions of the Live and Graveyard 12 For studies attempting to quantify the degree and impact of survivorship bias, see Baquero, Horst, and Verbeek (2004), Brown, Goetzmann, Ibbotson, and Ross (1992), Brown, Goetzmann, and Ibbotson (1999), Brown, Goetzmann, and Park (1997), Carpenter and Lynch (1999), Hsieh (1997b, 2000), Horst, Nijman, and Verbeek (2001), Hendricks, Patel, and Zeckhauser (1997), and Schneeweis and Spurgin (1996).…”

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confidence: 99%

Systemic Risk and Hedge Funds

Chan¹,

Getmansky²,

Haas³

et al. 2007

The Risks of Financial Institutions

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Systemic risk is commonly used to describe the possibility of a series of correlated defaults among financial institutions-typically banks-that occur over a short period of time, often caused by a single major event. However, since the collapse of Long Term Capital Management in 1998, it has become clear that hedge funds are also involved in systemic risk exposures. The hedge-fund industry has a symbiotic relationship with the banking sector, and many banks now operate proprietary trading units that are organized much like hedge funds. As a result, the risk exposures of the hedge-fund industry may have a material impact on the banking sector, resulting in new sources of systemic risks. In this paper, we attempt to quantify the potential impact of hedge funds on systemic risk by developing a number of new risk measures for hedge funds and applying them to individual and aggregate hedge-fund returns data. These measures include: illiquidity risk exposure, nonlinear factor models for hedge-fund and banking-sector indexes, logistic regression analysis of hedge-fund liquidation probabilities, and aggregate measures of volatility and distress based on regime-switching models. Our preliminary findings suggest that the hedge-fund industry may be heading into a challenging period of lower expected returns, and that systemic risk is currently on the rise.

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“…BCBS was also collaborating with other global regulation bodies in merging settling of non-cleared contracts. The completeness of these reforms is crucial for the understanding of the situation in the financial markets and the influence of it on the real economy in whole [28].…”

Section: Other Activities Of the Bcbsmentioning

confidence: 99%

Lobbying in the Financial Sector in US

Maxim¹

2014

Int J Econ & Manag Sci

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The paper investigate the lobbying affords in the financial sector in US and observing the risks that might appeared thorough lobbying the legislations in the Basel regulatory framework. I was looking for the changes in lobbying activities connected with the changes in the Basel framework regulations as well as I wanted to look at the historical volatility of lobbying and through the regression analysis try to build a prognoses for the future development of the sector.

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Survivor bias in commodity trading advisor performance

Cited by 68 publications

References 3 publications

Sifting Through the Wreckage: Lessons From Recent Hedge-Fund Liquidations

Sifting Through the Wreckage: Lessons From Recent Hedge-Fund Liquidations

Systemic Risk and Hedge Funds

Lobbying in the Financial Sector in US

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