Chapter 11

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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