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https://doi.org/10.21256/zhaw-97| Publication type: | Working paper – expertise – study |
| Title: | Bias Analysis of Swiss Registered Fund of Hedge Funds |
| Authors: | Dürr, Franziskus Meier, Peter |
| DOI: | 10.21256/zhaw-97 |
| Extent: | 17 |
| Issue Date: | 2010 |
| Publisher / Ed. Institution: | ZHAW Zürcher Hochschule für Angewandte Wissenschaften |
| Publisher / Ed. Institution: | Winterthur |
| Language: | English |
| Subjects: | Hedge; Funds; Bias; Performance; Bias; Funds; Hedge; Performance |
| Subject (DDC): | 332: Financial economics |
| Abstract: | This paper analysis Swiss registered funds of hedge funds. Thus, a well-defined universe is analysed which is quite unique among fund of hedge funds research. I found similar results like previous research for the survivorship bias which accounts for about 1% of the annual mean performance. Contrary to existing studies for other universes is the negative backfill bias for Swiss registered funds of hedge funds between 0.09% and 0.41%. Possible explanations could be high initial cost or small assets in the start up phase. I also found it to be crucial if a parametric or non-parametric test is used to evaluate the mean returns. Since most of the parametric tests are not significant, but the signs of the difference are mostly identical, the parametric test is in most cases not accurate. I conclude that the construction of the "hedgegate Swiss Funds of Hedge Funds Index” can absorb most of the biases and therefore leads to a quite representative performance for the Swiss fund of hedge funds market. Das Paper analysiert in Schweiz registrierte Funds of Hedge Funds. Dieses Universum ist durch die Regulatoren begrenzt, was normalerweise bei Hedge Funds nicht der Fall ist. Das Paper fand ähnliche Resultate bezüglich dem Survivorship Bias welcher im vorliegenden Fall etwa 1% der jährlichen Durchschnittsperfromance ausmacht. Dagegen überrascht das Resultat für den Backfill Bias welcher negativ ist zwischen 0.09 und 0.41% abhängig von der Berechnungsmethode. Eine mögliche Erklärung dazu ist, dass Funds of Hedge Funds nach der Gründung tendenziell höhere Kosten und weniger Assets haben. Die Analyse ergab, dass es kritisch ist ob ein parametrisch oder nicht parametrischer Test zur Überprüfung der Hypothese verwendet wird. Dies weil die meisten parametrischen Tests nicht significant sind, obwohl die Vorzeichen der Differenzen systematisch sind. Aus diesem Grund ist der parametrische Test in vielen Fällen nicht angemessen. Aus den Resultaten kann man schliessen, dass die Konstruktion des "hedgegate Swiss Funds of Hedge Funds Index" die gängigen Bias reduzieren kann und er daher ein repräsentativer Benchmark für in der Schweiz registrierte Funds of Hedge Funds ist. This paper analysis Swiss registered funds of hedge funds. Thus, a well-defined universe is analysed which is quite unique among fund of hedge funds research. I found similar results like previous research for the survivorship bias which accounts for about 1% of the annual mean performance. Contrary to existing studies for other universes is the negative backfill bias for Swiss registered funds of hedge funds between 0.09% and 0.41%. Possible explanations could be high initial cost or small assets in the start up phase. I also found it to be crucial if a parametric or non-parametric test is used to evaluate the mean returns. Since most of the parametric tests are not significant, but the signs of the difference are mostly identical, the parametric test is in most cases not accurate. I conclude that the construction of the "hedgegate Swiss Funds of Hedge Funds Index” can absorb most of the biases and therefore leads to a quite representative performance for the Swiss fund of hedge funds market. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/97 |
| Departement: | School of Management and Law |
| Organisational Unit: | Institute for Risk & Insurance (IRI) |
| Appears in collections: | Banking, Finance, Insurance |
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|---|---|---|---|---|
| 1841884028.pdf | 237.02 kB | Adobe PDF |  View/Open |
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Dürr, F., & Meier, P. (2010). Bias Analysis of Swiss Registered Fund of Hedge Funds. ZHAW Zürcher Hochschule für Angewandte Wissenschaften. https://doi.org/10.21256/zhaw-97
Dürr, F. and Meier, P. (2010) Bias Analysis of Swiss Registered Fund of Hedge Funds. Winterthur: ZHAW Zürcher Hochschule für Angewandte Wissenschaften. Available at: https://doi.org/10.21256/zhaw-97.
F. Dürr and P. Meier, “Bias Analysis of Swiss Registered Fund of Hedge Funds,” ZHAW Zürcher Hochschule für Angewandte Wissenschaften, Winterthur, 2010. doi: 10.21256/zhaw-97.
DÜRR, Franziskus und Peter MEIER, 2010. Bias Analysis of Swiss Registered Fund of Hedge Funds. Winterthur: ZHAW Zürcher Hochschule für Angewandte Wissenschaften
Dürr, Franziskus, and Peter Meier. 2010. “Bias Analysis of Swiss Registered Fund of Hedge Funds.” Winterthur: ZHAW Zürcher Hochschule für Angewandte Wissenschaften. https://doi.org/10.21256/zhaw-97.
Dürr, Franziskus, and Peter Meier. Bias Analysis of Swiss Registered Fund of Hedge Funds. ZHAW Zürcher Hochschule für Angewandte Wissenschaften, 2010, https://doi.org/10.21256/zhaw-97.
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