This paper examines the survival analysis of hedge funds using various survival models.
Survival analysis has been used in studies of the lifetimes of bonds, labour strikes …

The process that led the world economy to the global financial crisis, as well as its explosion,
was accompanied by an unprecedented increase of prices in the commodity markets. The …

This article investigates the mortality of Commodity Trading Advisors (CTAs) over the 1990–
2003 period, a longer horizon than any encompassed in the literature. A detailed survival …

The idea for this book came about when we realized that a collection of articles dealing with
quantitative and qualitative analyses of hedge funds could be a useful addition to current …

Publisher Summary This chapter focuses on the liquidity risk that a hedge fund investor
faces. An investor faces liquidity risk because capital is typically locked up in a fund for a …

This study investigates the differences in mortality between systematic and discretionary
Commodity Trading Advisors, CTAs, over 1994-2009 period, the longest horizon than any …

Our paper investigates the timing of the inception of commodity trading advisors and the
relationship between their fund flows and performance. Our results show that commodity …

CTA Performance Persistence: 1994-2010 Page 1 CTA Performance Persistence: 1994-2010
Marat Molyboga Co-Chief Risk Officer Efficient Capital Management www.efficientcapital.com …

This thesis studies the performance, performance persistence, survival and flow of
Commodity Trading Advisors, also known as CTAs or Managed Futures Funds. One of the …

This paper investigates the birth of commodity trading advisers (CTAs) and their flow–
performance relation. Specifically, we address three questions. First, we investigate the …