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Stats › Gestion active, passive et flux › Database biases

Removing survivorship and backfill bias cuts the reported return from 12.6 per cent to 4.9

Advisor index returnAs reported: 12.6%Both biases removed: 4.9%4.9%Advisor index, survivorship onlyAs reported: 12.6%Both biases removed: 9.4%9.4%Hedge fund average returnAs reported: 12.6%Both biases removed: 6.3%6.3%As reportedBoth biases removed

The first two rows cover 582 commodity trading advisors from 1994 to 2007, excluding 83,201 of 102,393 post 1993 monthly observations as backfilled or pre listing. The third covers cross sectionally averaged hedge fund returns from January 1996 to December 2014 in the same commercial database. No standard errors or t statistics are reported for any of these bias estimates in either source.

A commodity trading advisor index returns 12.6 per cent a year with both biases present and 4.9 per cent with neither. The Sharpe ratio falls from 0.73 to 0.09. A separate hedge fund study on the same database finds 12.6 falling to 6.3.

12.6% a yearIndex return with both biases
4.9% a yearWith neither bias
0.73 then 0.09Sharpe ratio, both biases then neither
12.6% to 6.3%Hedge funds, both adjustments

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