Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance

Hedge funds databases are typically subject to high attrition rates because of fund termination and self-selection. Even when all funds are included up to their last available return, one cannot prevent that ex post conditioning biases a.ect standard estimates of performance persistence. In this paper we analyze the persistence in the performance of U.S. hedge funds taking into account look-ahead bias (multi-period sampling bias). To do so, we model attrition of hedge funds and analyze how it depends upon historical performance. Next, we use a weighting procedure that eliminates look-ahead bias in measures for performance persistence. The results show that the impact of look-ahead bias is quite severe, even though positive and negative survival-related biases are sometimes suggested to cancel out. At horizons of one and four quarters, we find clear evidence of positive persistence in hedge fund returns, also after correcting for investment style. At the two-year horizon, past winning funds tend to perform poorly in the future

Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance

We analyze the performance persistence in hedge funds taking into account look-ahead bias (multi-period sampling bias). We model liquidation of hedge funds by analyzing how it depends upon historical performance. Next, we use a weighting procedure that eliminates look-ahead bias in measures for performance persistence. In contrast to earlier results for mutual funds, the impact of look-ahead bias is exacerbated for hedge funds due to their greater level of total risk. At the four-quarter horizon, look-ahead bias can be as much as 3.8%, depending upon the decile of the distribution. We find positive persistence in hedge fund quarterly returns after correcting for investment style. The empirical pattern at the annual level is also consistent with positive persistence, but its statistical significance is weak

Vectorial velocity filter for ultracold neutrons based on a surface-disordered mirror system

We perform classical three-dimensional Monte Carlo simulations of ultracold neutrons scattering through an absorbing-reflecting mirror system in the Earth's gravitational field. We show that the underlying mixed phase space of regular skipping motion and random motion due to disorder scattering can be exploited to realize a vectorial velocity filter for ultracold neutrons. The absorbing-reflecting mirror system proposed allows beams of ultracold neutrons with low angular divergence to be formed. The range of velocity components can be controlled by adjusting the geometric parameters of the system. First experimental tests of its performance are presented. One potential future application is the investigation of transport and scattering dynamics in confined systems downstream of the filter.Comment: 14 pages, 13 figures; final version including additional experimental dat

Earth Occultation Imaging of the Low Energy Gamma-Ray Sky with GBM

The Earth Occultation Technique (EOT) has been applied to Fermi's Gamma-ray Burst Monitor (GBM) to perform all-sky monitoring for a predetermined catalog of hard X-ray/soft gamma-ray sources. In order to search for sources not in the catalog, thus completing the catalog and reducing a source of systematic error in EOT, an imaging method has been developed -- Imaging with a Differential filter using the Earth Occultation Method (IDEOM). IDEOM is a tomographic imaging method that takes advantage of the orbital precession of the Fermi satellite. Using IDEOM, all-sky reconstructions have been generated for ~sim 4 years of GBM data in the 12-50 keV, 50-100 keV and 100-300 keV energy bands in search of sources otherwise unmodeled by the GBM occultation analysis. IDEOM analysis resulted in the detection of 57 sources in the 12-50 keV energy band, 23 sources in the 50-100 keV energy band, and 7 sources in the 100-300 keV energy band. Seventeen sources were not present in the original GBM-EOT catalog and have now been added. We also present the first joined averaged spectra for four persistent sources detected by GBM using EOT and by the Large Area Telescope (LAT) on Fermi: NGC 1275, 3C 273, Cen A, and the Crab

Transitions between levels of a quantum bouncer induced by a noise-like perturbation

The probability of transition between levels of a quantum bouncer, induced by a noise-like perturbation, is calculated. The results are applied to two sources of noise (vibrations and mirror surface waviness) which might play an important role in future GRANIT experiment, aiming at precision studies of/with the neutron quantum bouncer