Derivatives Use
Derivatives Use, Trading & Regulation (2006) 12, 209–218. doi:10.1057/palgrave.dutr.1850041
Survival of micro hedge funds
Practical applications
Survival analysis can assist funds of hedge fund (FOF) managers, institutional investors, pension funds and endowment funds to identify hedge fund classifications with the longest and shortest survival lifetimes. The results will help FOF managers to construct portfolios of hedge funds and help them avoid funds that die prematurely.
Greg N Gregoriou1
Correspondence: Greg N. Gregoriou, State University of New York (Plattsburgh), 101 Broad Street, Plattsburgh, NY 12901, USA. Tel: (518) 564 4202, Fax: (518) 564 4215; E-mail: greg.gregoriou@plattsburgh.edu
1Greg N. Gregoriou is Associate Professor of Finance and Coordinator of Faculty Research at State University of New York (Plattsburgh) and Hedge Fund Editor for Derivatives Use, Trading and Regulation.
Received 14 March 2006; Revised 14 March 2006.
Abstract
This paper investigates the survival times of micro hedge funds during the 1994–2003 period. Each classification's mean survival time is estimated, in increments of $5 million and with an upper boundary at less than $50 million. Consistent with previous findings in the literature, smaller funds less than $50 million tend to have shorter survival times. Taking this one step further, the author believes that the smallest hedge funds will have the highest mortality rates.
Keywords:
survival, micro hedge funds, median survival, Kaplan–Meir, hazard rates
