References in periodicals archive ?
The SS&C GlobeOp Hedge Fund Performance Index is transparent, consistent in data processing, and free from selection or survivorship bias.
The tests were carefully constructed to be free of both look-ahead and survivorship bias.
Survivorship bias in marketing material is often high.
Investigators included living and deceased patients to avoid survivorship bias.
Malkiel (1995) presents two important findings for a sample of equity mutual funds examined from 1971-1991: in the aggregate, funds underperformed the market, with the S&P 500 as the benchmark and significant survivorship bias exists, which may be leading to erroneous finds of performance persistence.
Besides using more robust performance evaluation techniques (conditional multi-factor models) to analyse overall performance as well as timing and selectivity abilities of fund managers, the analysis is complemented with robustness tests to check for possible effects that may arise from survivorship bias, management fees and spurious regressions.
Ackermann, McEnally, and Ravenscraft (1999) pointed out that hedge fund databases have survivorship bias, liquidation bias, backfill bias, and selection bias.
Survivor Bias Free Database -- data is available on inactive companies allowing researchers to remove survivorship bias from their research.
Aharony and Falk (1992) test for the presence of survivorship bias arising out of the non-inclusion of failed firms.
The results can be quite sensitive to survivorship bias, as well as to how one treats firms that disappear from the datasets.
Finally, there may be a serious survivorship bias with respect to US data.
The difference in returns is actually understated, due both to survivorship bias (poorly performing funds disappeared from the data) and the impact of taxes on fund distributions.