In this section, we provide updates to these issues using three commercial data sets--TASS, HFR, and 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.
HFR and CISDM yield virtually the same estimate (1.
EXHIBIT 2 Betas for FM Regression with k=24, l=12 TASS Barclay CISDM Beta (in %) 1.
When ranking is performed using the TASS and CISDM CTA indexes, results are very similar.
CISDM Working Paper, University of Massachusetts at Amherst, 2002.
The median fund in our data started in 1998, and our sample consists of all continuing and defunct funds in CISDM.
In this paper, we have demonstrated robustness to different subsets of the CISDM data set.
Panel A presents the results for performance measures using all CISDM data over the range 1994-2005 including defunct funds.
Durations Listed is the interquartile range of durations in months of hedge funds in the 2005 CISDM
hedge fund database.
About CISDM (Center for International Securities and Derivatives Markets):
A non-profit academic research center at the Isenberg School, CISDM focuses on security and investment fund performance in both U.