Backfill Bias与Surviorship Bias

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

Hedge fund 的Backfill Bias指的是啥,与Surviorship Bias的不同点在哪

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏2 回帖

关键词：Surviorship fill ship Back IAS

前者针对index的总体情况，采用历史数据会有向上的偏差，后者指指数加入一个新基金后，会发生向上偏差。

Backfill bias, also called instant history bias, is closely related to survivorship bias and self-selection bias, and similarly distorts indices. It tends to have a larger effect when it does occur, but in only affects indices that include the past performance of new constituents in their calculations — these are usually hedge fund indices.

The problem is usually restricted to hedge fund indices. This is exacerbated by the lack of disclosure in the industry (compared to listed securities or most types of collective investment vehicle). This means that only those funds that choose to report results to the compilers of an index are included in it. This self selection enables backfill bias in addition to the inevitable survivorship bias.

Studies suggest that backfill bias adds about 4% or more to hedge fund returns, with survivorship bias adding nearly another 3%. This is sufficient to account for most of the apparent alpha generated by hedge funds. Once fees are deducted, this seems to make hedge funds an unpromising investment.

[此贴子已经被作者于2009-5-30 12:44:24编辑过]

简单地说:

Backfill Bias是在原INDEX上增加了项目; (如以前30指数,现在变成了40指数)

Surviorship Bias是在原INDEX上减少了项目(如以前30指数,现在也可能还是30指数.但是之前的30个中,有10个已经离我们去了)

Backfill Bias是 BIAS Up吗?

Surviorship Bias是 BIAS Up吗?

简单地说，survivorship bias 是由于剔除了坏记录（运作不好的基金消失了），backfill bias是由于增加了好记录（不断有新的运作良好的基金加入数据库）
详细解释参见http://stevereads.com/weblog/200 ... -and-backfill-bias/，一个耶鲁的老师的课堂笔记

ddddddddddddddddddddddddddddddddd

xiaopouyou 发表于 2010-5-12 14:24
简单地说，survivorship bias 是由于剔除了坏记录（运作不好的基金消失了），backfill bias是由于增加了好记 ...

indeed, explanation

xiaopouyou 发表于 2010-5-12 14:24
简单地说，survivorship bias 是由于剔除了坏记录（运作不好的基金消失了），backfill bias是由于增加了好记 ...

"You’ve got survivorship bias taking out bad records and then you’ve got backfill bias adding good records. They both cause the universe of active management returns to appear to be better than the reality because there’s a lot in there that doesn’t have anything to do with the average experience of, in this case, an institutional investor. "

GOOD!You've got survivorship bias taking out bad records and then you've got backfill bias adding good records. They both cause the universe of active management returns to appear to be better than the reality because there's a lot in there that doesn't have anything to do with the average experience of, in this case, an institutional investor.