英文:survivorshipbias 生存偏差效应是指在基金绩效研究中不考虑已退市基金的做法可能会导致人们对基金绩效的错误估计。 选取2000-2007年期间的72只封闭式股票型基金来考察生存偏差对我国封闭式基金绩效及绩效持续性的影响。结果表明,忽略生存偏差效应会导致我国封闭式基金绩效的高估,且在一定程度上夸大了我国封闭式基金绩效的持续性。
2、为了避免生存偏差(Survivorship bias),对于我们统计时点上没有交易价格的股票,我们向后逐步推移来找到其交易价格,这个时点上的交易价格在时间上是离我们分析时点上最近...
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生存偏差(survival bias)指象守株待兔这种策略,虽然成功率很低,但由于也有极少数成功案例,所以如果只看成功的例子似乎这个策略也是可行的。
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这样在计算指数时就能够最大程度上的消除生存偏差(survivor bias),真实刻划私募行业多年来的运行情况,不会出现由于未囊括业绩差而终止的基金导致的指数优于真实运行状况的现象。
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生存者偏差 survivor bias
生存偏差去掉了那些糟糕的记录,回填误差又加入了一些好的记录
You've got survivorship bias taking out bad records and then you've got backfill bias adding good records.
所以生存偏差和回填偏差,会是对冲基金领域里一个相当重大的问题。
So the survivorship bias and the backfill bias would be much, much more of a problem in the hedge fund world.
那么如果你算上生存偏差,你会发现,缺口不是0.3%,事实上是2%
Then if you adjust for survivorship bias, you end up concluding that the deficit wasn't .3% but the deficit was actually 2%.
So the survivorship bias and the backfill bias would be much,much more of a problem in the hedge fund world.
所以生存偏差和回填偏差,会是对冲基金领域里一个相当重大的问题
Looking at this particular group, he estimated survivorship bias to be 4.4% per year and backfill bias to be 7.3% per year.
分析这个特定的样本,他估算其生存偏差每年达到4.4%,回填偏差每年达到7.3%
Then if you adjust for survivorship bias, you end up concluding that the deficit wasn't .3% but the deficit was actually 2%.
那么如果你算上生存偏差,你会发现,缺口不是0.3%,事实上是2%
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