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In this section, we provide updates to these issues using three commercial data sets--TASS, HFR, and CISDM. (7)
It is 14.4 percent for TASS (14.3 percent for HFR and 15.5 percent for CISDM).
Table 6 provides the hazard rate, that is, the fraction of funds dropping out of a database at a given age, averaged over TASS, HFR, and CISDM. The highest dropout rate occurs when a fund is fourteen months old.
We use three CTA benchmarks commonly used in the literature: TASS, Barclay, and CISDM. Exhibit 1.
EXHIBIT 2 Betas for FM Regression with k=24, l=12 TASS Barclay CISDM Beta (in %) 1.27 1.28 1.17 (3.23) (3.39) (3.17) Notes: This exhibit presents values of betas calcuated in the FM regression using the TASS, Barclay, and CISDM CTA indexes for CTA ranking.
When ranking is performed using the TASS and CISDM CTA indexes, results are very similar.
Fung and Hsieh (2006) have demonstrated that only 3% of hedge funds appear in five of the major hedge fund databases (CISDM, TASS, EUR, MSCI, and HFR).
The median fund in our data started in 1998, and our sample consists of all continuing and defunct funds in CISDM. We considered robustness to excluding funds with longer life spans, and our results are extremely robust.
In this paper, we have demonstrated robustness to different subsets of the CISDM data set.
Fung, Hsieh, Naik, and Ramadorai  apply the seven-factor model by Fung and Hsieh  on a database of funds of hedge funds constructed by forming a union of three major databases--HFR, TASS, and CISDM. They show that alphas do matter in discerning the quality of different funds of hedge funds.
The hedge fund data used in our empirical analysis are from the CISDM database.
Durations Listed is the interquartile range of durations in months of hedge funds in the 2005 CISDM hedge fund database.
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