Predicting Hedge Fund Failure: A Comparison of Risk Measures
比较了下行风险度量与传统风险度量（如标准差）在预测对冲基金失败中的效果，发现下行风险更大的基金失败率更高，但标准差在加入其他变量后失去解释力；同时指出清算不等于失败，实际失败率（3.1%）低于年化退出率（8.7%）。
Abstract This paper compares downside risk measures that incorporate higher return moments with traditional risk measures such as standard deviation in predicting hedge fund failure. When controlling for investment strategies, performance, fund age, size, lockup, high-water mark, and leverage, we find that funds with larger downside risk have a higher hazard rate. However, standard deviation loses the explanatory power once the other explanatory variables are included in the hazard model. Further, we find that liquidation does not necessarily mean failure in the hedge fund industry. By reexamining the attrition rate, we show that the real failure rate of 3.1% is lower than the attrition rate of 8.7% on an annual basis during the period of 1995–2004.