{"title":"全球宏观对冲基金墓地","authors":"M. Asgharian, F. Diz, G. Gregoriou, F. Rouah","doi":"10.1142/S0219868104000154","DOIUrl":null,"url":null,"abstract":"This study estimates the survival time distribution of the global macro class of hedge funds. We use methods of survival analysis to investigate how performance and nonperformance features of hedge funds could affect their lifetimes. We find that the effect of monthly returns and average assets under management is significant and has an impact on survival. We further discover that between 6 and 8 years of existence there is a sharp increase in the hazard of failure, which is most likely attributed to the Russian Ruble crisis of August 1998. The assumption by the media that many global macro hedge funds have been accused of failing due to their excessive leverage may in fact be wrong.","PeriodicalId":128457,"journal":{"name":"Journal of Derivatives Accounting","volume":"128 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2004-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"THE GLOBAL MACRO HEDGE FUND CEMETERY\",\"authors\":\"M. Asgharian, F. Diz, G. Gregoriou, F. Rouah\",\"doi\":\"10.1142/S0219868104000154\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This study estimates the survival time distribution of the global macro class of hedge funds. We use methods of survival analysis to investigate how performance and nonperformance features of hedge funds could affect their lifetimes. We find that the effect of monthly returns and average assets under management is significant and has an impact on survival. We further discover that between 6 and 8 years of existence there is a sharp increase in the hazard of failure, which is most likely attributed to the Russian Ruble crisis of August 1998. The assumption by the media that many global macro hedge funds have been accused of failing due to their excessive leverage may in fact be wrong.\",\"PeriodicalId\":128457,\"journal\":{\"name\":\"Journal of Derivatives Accounting\",\"volume\":\"128 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2004-09-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Derivatives Accounting\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1142/S0219868104000154\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Derivatives Accounting","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1142/S0219868104000154","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
This study estimates the survival time distribution of the global macro class of hedge funds. We use methods of survival analysis to investigate how performance and nonperformance features of hedge funds could affect their lifetimes. We find that the effect of monthly returns and average assets under management is significant and has an impact on survival. We further discover that between 6 and 8 years of existence there is a sharp increase in the hazard of failure, which is most likely attributed to the Russian Ruble crisis of August 1998. The assumption by the media that many global macro hedge funds have been accused of failing due to their excessive leverage may in fact be wrong.
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