Predicting Funds of Hedge Funds Attrition Through Performance Diagnostics
Philippe Cogneau∗, Philippe Debatty† and Georges Hübner∗∗, ∗HEC Management School, University of Liège, Liège, Belgium, †Fuchs & Associés Finance S.A, Luxembourg, ∗∗Deloitte Chair of Portfolio Management and Performance, HEC Management School, University of Liège, Liège, Belgium
Chapter Outline
11.1. Introduction
11.2. Data and Variable Construction
11.2.1. Fund Database
11.2.2. Market Data
11.2.3. Descriptive analysis of the funds
11.3. The Treatment of Performance Measures
11.3.1. Performance Computation
11.3.2. Elimination of Redundant Measures
11.4. Linking Fund Performance to Subsequent Attrition
11.4.1. Logistic Regression Analysis
11.4.2. Implications ...
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