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THE GLOBAL MACRO HEDGE FUND CEMETERY

MASOUD ASGHARIAN

Department of Mathematics and Statistics, McGill University, Montreal, QC, Canada

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FERNANDO DIZ

Whitman School of Management, Syracuse University, Syracuse, New York, USA

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GREG N. GREGORIOU

School of Business and Economics, State University of New York, 101 Broad Street, Plattsburgh, New York 12901, USA

Corresponding author.

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, and

FABRICE ROUAH

Faculty of Management, McGill University, Montreal, QC, Canada

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https://doi.org/10.1142/S0219868104000154Cited by:3 (Source: Crossref)

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.

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References

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Vol. 01, No. 02

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THE GLOBAL MACRO HEDGE FUND CEMETERY

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