Prior research has identified a number of biases in hedge fund databases, notably due to survivorship and selective backfilling of returns. This study finds that survivorship bias in hedge funds has risen in recent years to just under 4% p.a., due mainly to higher attrition among managed futures, fixed income arbitrage and some sector-based equity hedge strategies. Prior estimates of 'instant history' bias however, exaggerate the effect of selective backfilling and are themselves biased by the methodolgy used. We also extend on prior research by examining the impact of survivorship on higher moments of the distribution of hedge fund returns (volatility, skew and kurtosis) and consider probable causes of death after trawling the extensive TASS ‘notes’ fields for over 1000
defunct funds, referred to affectionately by TASS as “the graveyard”. We find evidence that many funds actually close themselves down when their NAV drifts well below their previous high watermark for incentive fees and that sudden short-term losses are more
likely to lead to termination than poor returns or high volatility per se. We also find little evidence that hedge fund death is related to leverage, the extent of trading discretion, or whether or not managers are personally invested. We do however, find a significantly
higher incidence of death among funds that use technical/trend-following processes.