Correspondence: Maher Kooli, School of Business and Management, University of Quebec in Montreal (UQAM), P.O. Box 6192, Station 'Centre-ville', Montreal, Quebec, Canada H3C 4R2. Tel: +1 514 987 3000, 2082#, Fax +1 514 987 0422, E-mail: kooli.maher@uqam.ca

¹Greg N. Gregoriou is Professor of Finance in the School of Business and Economics at State University of New York (Plattsburgh).

²Maher Kooli is Professor of Finance at the School of Business and Management, University of Quebec in Montreal (UQAM).

³Fabrice Douglas Rouah is Vice President (Senior Quantitative Analyst) for a large financial firm based in Boston, MA.

Received 22 November 2007; Revised 22 November 2007.

Abstract

In this paper, we investigate the survival lifetimes of fund of hedge funds (FOF) during the January 1994–December 2005 period. We focus on four FOF sub-categories tracked in the Hedge Fund Research, Inc. database, and find important differences between the sub-categories in the attrition rates of FOFs. More specifically, using Weibull and Cox proportional hazards models, we find that FOF survival times depend on a number of predictor variables, including a FOF's efficiency score from a data envelopment analysis (DEA) model. We also confirm the fact that FOFs are not a homogeneous group of funds, but rather constitute four distinct management styles.