Board of Governors of the Federal Reserve System FEDS Paper Data

Skip to: [Printable Version (PDF)] [Bibliography] [Footnotes]

Finance and Economics Discussion Series: 2008-28 Screen Reader version ^♣

Market Conditions and Hedge Fund Survival

Mark Carlson

Jason Steinman

December 2007

Figure 1: Number of funds exiting the TASS database each month
date	Funds considered failures	Funds exiting for other reasons
Jan-94	0	0
Feb-94	0	0
Mar-94	0	1
Apr-94	0	1
May-94	0	0
Jun-94	0	0
Jul-94	1	0
Aug-94	1	1
Sep-94	6	0
Oct-94	3	1
Nov-94	2	0
Dec-94	4	3
Jan-95	0	0
Feb-95	2	0
Mar-95	4	4
Apr-95	0	3
May-95	1	2
Jun-95	4	1
Jul-95	1	1
Aug-95	1	2
Sep-95	2	0
Oct-95	0	2
Nov-95	5	0
Dec-95	4	7
Jan-96	5	0
Feb-96	5	1
Mar-96	7	2
Apr-96	5	1
May-96	7	0
Jun-96	6	5
Jul-96	4	5
Aug-96	7	3
Sep-96	9	1
Oct-96	6	0
Nov-96	8	0
Dec-96	13	2
Jan-97	6	0
Feb-97	3	0
Mar-97	9	4
Apr-97	5	2
May-97	2	2
Jun-97	5	4
Jul-97	5	1
Aug-97	4	0
Sep-97	6	0
Oct-97	4	1
Nov-97	2	1
Dec-97	6	3
Jan-98	3	1
Feb-98	3	3
Mar-98	8	3
Apr-98	4	3
May-98	4	1
Jun-98	9	6
Jul-98	19	1
Aug-98	11	3
Sep-98	9	4
Oct-98	5	9
Nov-98	8	1
Dec-98	8	6
Jan-99	0	4
Feb-99	1	2
Mar-99	8	8
Apr-99	8	3
May-99	2	5
Jun-99	6	6
Jul-99	8	2
Aug-99	15	5
Sep-99	10	1
Oct-99	12	3
Nov-99	16	6
Dec-99	18	5
Jan-00	11	3
Feb-00	3	4
Mar-00	11	2
Apr-00	18	9
May-00	9	3
Jun-00	12	6
Jul-00	9	6
Aug-00	2	4
Sep-00	8	4
Oct-00	12	4
Nov-00	13	8
Dec-00	16	13
1-Jan	8	7
1-Feb	13	3
1-Mar	9	6
1-Apr	11	9
1-May	0	8
1-Jun	5	16
1-Jul	8	5
1-Aug	3	6
1-Sep	8	11
1-Oct	7	4
1-Nov	10	4
1-Dec	31	14
2-Jan	9	1
2-Feb	8	5
2-Mar	10	12
2-Apr	7	3
2-May	12	10
2-Jun	15	7
2-Jul	7	6
2-Aug	11	5
2-Sep	10	10
2-Oct	6	8
2-Nov	13	4
2-Dec	22	12
3-Jan	7	2
3-Feb	7	4
3-Mar	10	9
3-Apr	7	3
3-May	8	8
3-Jun	11	10
3-Jul	17	9
3-Aug	14	5
3-Sep	13	3
3-Oct	12	9
3-Nov	8	7
3-Dec	14	14
4-Jan	3	9
4-Feb	7	7
4-Mar	11	6
4-Apr	5	7
4-May	13	5
4-Jun	15	8
4-Jul	9	18
4-Aug	12	6
4-Sep	15	11
4-Oct	8	9
4-Nov	17	21
4-Dec	21	13
5-Jan	10	8
5-Feb	11	12
5-Mar	9	13
5-Apr	14	7
5-May	6	19
5-Jun	17	24
5-Jul	18	11
5-Aug	9	14
5-Sep	14	19
5-Oct	11	21
5-Nov	20	30
5-Dec	23	28
6-Jan	11	20
6-Feb	12	9
6-Mar	12	21
6-Apr	4	24
6-May	16	25
6-Jun	12	33
6-Jul	11	25
6-Aug	12	25
6-Sep	10	38
6-Oct	7	26
6-Nov	4	25
6-Dec	18	36

Return to Figure 1

Figure 2a: Selected coefficients from rolling-window regressions using individual hedge funds. Coefficients on selected market returns
date	Coefficient on return on the S&P 500	Coefficient on return on foreign exchange index
Jun-98	0.033	0.1885
Jul-98	-0.0428	0.2448
Aug-98	-0.0395	0.238
Sep-98	-0.0417	0.227
Oct-98	-0.0343	0.2226
Nov-98	-0.0335	0.2103
Dec-98	-0.0389	0.1862
Jan-99	-0.0649	0.1588
Feb-99	-0.08	0.1214
Mar-99	-0.088	0.1386
Apr-99	-0.0853	0.1308
May-99	-0.086	0.1403
Jun-99	-0.0848	0.1352
Jul-99	-0.0788	0.1505
Aug-99	-0.0649	0.1301
Sep-99	-0.0704	0.1085
Oct-99	-0.0645	0.1045
Nov-99	-0.0786	0.0972
Dec-99	-0.0747	0.0752
Jan-00	-0.0687	0.0705
Feb-00	-0.0621	0.0625
Mar-00	-0.0556	0.0671
Apr-00	-0.0293	0.1128
May-00	-0.0261	0.1168
Jun-00	-0.0313	0.1022
Jul-00	-0.0337	0.0942
Aug-00	-0.0587	0.0557
Sep-00	-0.0561	0.0549
Oct-00	-0.0548	0.0723
Nov-00	-0.0469	0.0754
Dec-00	-0.0408	0.1156
Jan-01	-0.0352	0.1079
Feb-01	-0.0312	0.104
Mar-01	-0.046	0.0616
Apr-01	-0.0454	0.0672
May-01	-0.0611	0.0656
Jun-01	-0.0654	0.0712
Jul-01	-0.0628	0.0587
Aug-01	-0.0569	0.0777
Sep-01	-0.044	0.091
Oct-01	-0.0427	0.0899
Nov-01	-0.0436	0.0845
Dec-01	-0.0383	0.1134
Jan-02	-0.0478	0.0993
Feb-02	-0.0492	0.0959
Mar-02	-0.0512	0.0947
Apr-02	-0.0492	0.0855
May-02	-0.0403	0.069
Jun-02	-0.0423	0.061
Jul-02	-0.0408	0.0525
Aug-02	-0.0344	0.0537
Sep-02	-0.0371	0.0545
Oct-02	-0.0439	0.0584
Nov-02	-0.0343	0.0675
Dec-02	-0.0402	0.0404
Jan-03	-0.0348	-0.0081
Feb-03	-0.0288	-0.0053
Mar-03	-0.0225	-0.0045
Apr-03	-0.0142	-0.0162
May-03	-0.0137	-0.0213
Jun-03	0.0012	-0.0227
Jul-03	0.0245	0.0155
Aug-03	0.0129	0.0245
Sep-03	0.0114	0.0286
Oct-03	0.0165	0.0303
Nov-03	0.0017	0.0291
Dec-03	-0.0064	0.031
Jan-04	-0.0099	0.0043
Feb-04	-0.0103	0.0075
Mar-04	-0.0104	0.0062
Apr-04	-0.019	-0.0071
May-04	-0.0091	-0.006
Jun-04	-0.0082	-0.009
Jul-04	0.0001	-0.0119
Aug-04	-0.0134	-0.0088
Sep-04	-0.0256	-0.0129
Oct-04	-0.0251	-0.0288
Nov-04	-0.0283	-0.0314
Dec-04	-0.0364	-0.014
Jan-05	-0.0449	-0.0194
Feb-05	-0.0311	-0.0159
Mar-05	-0.0312	-0.017
Apr-05	-0.0544	-0.0289
May-05	-0.0563	-0.0251
Jun-05	-0.0589	-0.0088
Jul-05	-0.0608	-0.0097
Aug-05	-0.0585	-0.01
Sep-05	-0.0588	-0.0041
Oct-05	-0.0644	-0.0014
Nov-05	-0.0543	0.021
Dec-05	-0.0483	0.0116
Jan-06	-0.0685	0.0121
Feb-06	-0.0748	-0.017
Mar-06	-0.0708	-0.0226
Apr-06	-0.065	0.0035
May-06	-0.0605	0.0016
Jun-06	-0.054	-0.0032
Jul-06	-0.0504	-0.0003
Aug-06	-0.0401	-0.0024
Sep-06	-0.0351	-0.0027
Oct-06	-0.0542	-0.0138
Nov-06	-0.0541	-0.0163
Dec-06	-0.0444	-0.0016

Return to Figure 2

Figure 2b: Selected coefficients from rolling-window regressions using individual hedge funds. Coefficients on selected volatility related items.
date	Coefficient on interaction of volatility on the S&P 500 and of hedge fund returns	Coefficient on volatility of the S&P 500	Coefficient on volatility of the foreign exchange index
Jun-98	0.038	0.3818	-2.2984
Jul-98	0.043	0.6297	-2.7267
Aug-98	0.008	0.8692	-2.529
Sep-98	0.001	0.8898	-2.2804
Oct-98	-0.015	0.9162	-2.3808
Nov-98	-0.01	0.8589	-2.9446
Dec-98	-0.02	0.9262	-2.9089
Jan-99	-0.02	0.9838	-2.6784
Feb-99	-0.021	1.0543	-2.8163
Mar-99	-0.017	0.863	-2.7016
Apr-99	-0.021	0.8908	-2.8885
May-99	-0.017	0.8903	-2.8181
Jun-99	-0.002	0.5839	-2.8167
Jul-99	0.001	0.2155	-2.7538
Aug-99	-0.001	0.1146	-2.6815
Sep-99	-0.004	0.0815	-2.2446
Oct-99	-0.002	0.1178	-2.0569
Nov-99	-0.003	0.1467	-1.9088
Dec-99	-0.005	0.0525	-1.6658
Jan-00	-0.007	0.0403	-1.8091
Feb-00	-0.005	-0.0764	-1.2053
Mar-00	0.003	-0.2671	-0.9071
Apr-00	0.013	-0.5305	-1.7177
May-00	0.012	-0.4935	-1.6944
Jun-00	0.011	-0.5214	-1.8318
Jul-00	0.01	-0.4909	-1.7962
Aug-00	0.01	-0.3178	-1.461
Sep-00	0.01	-0.2583	-1.4609
Oct-00	0.009	-0.2496	-1.4198
Nov-00	0.004	-0.1645	-1.4662
Dec-00	0.001	-0.1155	-1.1784
Jan-01	-0.001	-0.1634	-1.3008
Feb-01	0.007	-0.1296	-1.392
Mar-01	0.003	-0.0729	-1.4532
Apr-01	-0.003	0.1166	-1.0926
May-01	-0.005	0.4115	-0.9828
Jun-01	-0.01	0.4841	-0.6947
Jul-01	-0.013	0.5816	-0.5969
Aug-01	-0.014	0.642	-0.4699
Sep-01	-0.005	0.507	-0.1773
Oct-01	-0.002	0.5068	-0.1089
Nov-01	0	0.4915	-0.2127
Dec-01	-0.001	0.4928	0.0808
Jan-02	-0.001	0.5015	0.0433
Feb-02	0.001	0.4974	0.025
Mar-02	0.003	0.4583	0.2395
Apr-02	0.003	0.4431	0.0408
May-02	0.004	0.5058	0.0868
Jun-02	0.004	0.4783	0.2878
Jul-02	0.007	0.2888	-0.1718
Aug-02	0.007	0.3126	-0.2031
Sep-02	0.007	0.3002	-0.0777
Oct-02	0.009	0.1914	0.1699
Nov-02	0.012	0.1086	-0.1649
Dec-02	0.012	0.2415	-0.9588
Jan-03	0.013	0.2728	-0.9053
Feb-03	0.012	0.2165	-0.8505
Mar-03	0.012	0.1628	-0.3347
Apr-03	0.014	0.1259	0.1471
May-03	0.015	0.0926	0.5728
Jun-03	0.017	0.0858	1.1158
Jul-03	0.019	-0.0139	1.8294
Aug-03	0.02	0.0658	1.6044
Sep-03	0.021	0.031	1.6074
Oct-03	0.022	-0.0394	1.7072
Nov-03	0.021	0.111	0.8474
Dec-03	0.026	0.0476	0.9183
Jan-04	0.025	0.0663	0.4287
Feb-04	0.023	0.097	0.3953
Mar-04	0.023	0.1313	0.6816
Apr-04	0.025	0.1307	0.777
May-04	0.022	0.1609	1.072
Jun-04	0.024	0.119	1.0271
Jul-04	0.025	-0.0257	1.1777
Aug-04	0.024	0.0663	0.9483
Sep-04	0.023	0.1134	0.7107
Oct-04	0.02	0.0271	1.6766
Nov-04	0.019	0.0002	1.5144
Dec-04	0.023	0.0328	0.8773
Jan-05	0.02	0.1098	0.9632
Feb-05	0.019	0.0793	0.9037
Mar-05	0.019	0.071	0.8906
Apr-05	0.019	0.0784	0.8286
May-05	0.021	0.0829	0.8074
Jun-05	0.024	0.135	0.2126
Jul-05	0.023	0.1211	0.1982
Aug-05	0.008	0.108	0.1949
Sep-05	0.009	0.1201	0.0398
Oct-05	0.016	-0.004	0.0434
Nov-05	0.016	-0.095	-0.4686
Dec-05	0.017	-0.2384	-0.3251
Jan-06	0.02	-0.1731	-0.3349
Feb-06	0.02	-0.2892	-0.4773
Mar-06	0.024	-0.296	-0.6006
Apr-06	0.021	-0.3719	-0.4204
May-06	0.022	-0.3232	-0.371
Jun-06	0.031	-0.3785	-0.3406
Jul-06	0.028	-0.4122	-0.297
Aug-06	0.027	-0.528	-0.279
Sep-06	0.025	-0.5752	-0.3955
Oct-06	0.024	-0.6887	-0.5065
Nov-06	0.024	-0.7329	-0.4504
Dec-06	0.028	-0.7388	-0.791

Return to Figure 2

Figure 2c: Selected coefficients from rolling-window regressions using individual hedge funds. Coefficients on swap spreads and leverage use.
date	Coefficient on reports using leverage	Coefficient on 10-year swap spread
Jun-98	-1.8024	-0.0699
Jul-98	-2.2642	-0.0447
Aug-98	-0.7799	-0.0208
Sep-98	-1.0511	-0.0236
Oct-98	-0.5678	-0.0082
Nov-98	-0.7517	-0.005
Dec-98	-0.9723	-0.0101
Jan-99	-0.9763	-0.0206
Feb-99	-1.019	-0.033
Mar-99	-0.9395	-0.0272
Apr-99	-0.6878	-0.0174
May-99	-0.4875	-0.0144
Jun-99	-0.4569	-0.0163
Jul-99	-0.7698	-0.0168
Aug-99	0.1035	0.0027
Sep-99	0.2392	0.0051
Oct-99	0.1813	0.0025
Nov-99	0.1595	-0.0015
Dec-99	0.2886	-0.0006
Jan-00	0.2121	-0.0002
Feb-00	0.1556	-0.0043
Mar-00	0.2357	-0.0027
Apr-00	0.101	0.0015
May-00	0.0966	-0.0004
Jun-00	0.1521	0.0014
Jul-00	0.3383	0.0014
Aug-00	0.3772	-0.0041
Sep-00	0.2853	-0.0054
Oct-00	0.3123	-0.0053
Nov-00	0.339	-0.0044
Dec-00	0.2662	-0.0041
Jan-01	0.3893	0.0003
Feb-01	0.6378	0.0034
Mar-01	0.5571	0.0056
Apr-01	0.6921	0.0073
May-01	0.6241	0.0095
Jun-01	0.8038	0.0108
Jul-01	0.8522	0.0097
Aug-01	0.9764	0.0115
Sep-01	1.0462	0.014
Oct-01	0.9848	0.0131
Nov-01	0.8881	0.0127
Dec-01	0.9338	0.0111
Jan-02	1.0044	0.0129
Feb-02	0.8961	0.0113
Mar-02	1.1685	0.0142
Apr-02	1.1902	0.0141
May-02	1.0842	0.0117
Jun-02	1.31	0.0098
Jul-02	1.3761	0.0103
Aug-02	1.38	0.0101
Sep-02	1.3472	0.0099
Oct-02	1.2582	0.0087
Nov-02	1.2002	0.0057
Dec-02	1.0425	0.0087
Jan-03	0.6092	0.0127
Feb-03	0.7035	0.0128
Mar-03	0.5941	0.0099
Apr-03	0.6674	0.0091
May-03	0.3784	0.0071
Jun-03	0.3259	0.0044
Jul-03	0.301	-0.0005
Aug-03	0.2704	-0.0051
Sep-03	0.1086	-0.0089
Oct-03	0.021	-0.0109
Nov-03	0.0798	-0.0121
Dec-03	0.01	-0.0096
Jan-04	0.1134	-0.0074
Feb-04	-0.1014	-0.009
Mar-04	-0.0724	-0.0097
Apr-04	-0.0169	-0.0074
May-04	-0.0131	-0.007
Jun-04	-0.0239	-0.0068
Jul-04	-0.0348	-0.0059
Aug-04	0.0357	-0.0065
Sep-04	-0.0665	-0.0085
Oct-04	0.1205	-0.0034
Nov-04	0.0855	-0.0034
Dec-04	0.0154	-0.0087
Jan-05	0.0325	-0.0103
Feb-05	-0.057	-0.0095
Mar-05	-0.0116	-0.0094
Apr-05	0.034	-0.0116
May-05	-0.0603	-0.0137
Jun-05	-0.4414	-0.0192
Jul-05	-0.334	-0.0167
Aug-05	-0.2302	-0.0162
Sep-05	-0.6483	-0.0231
Oct-05	-0.6523	-0.0254
Nov-05	-0.6217	-0.0214
Dec-05	-0.761	-0.0176
Jan-06	-0.6949	-0.017
Feb-06	-0.885	-0.0091
Mar-06	-0.8369	-0.0072
Apr-06	-0.8481	-0.0059
May-06	-0.8346	-0.0048
Jun-06	-0.6152	-0.0014
Jul-06	-0.2416	0.0087
Aug-06	-0.4205	0.0129
Sep-06	-0.6711	0.0142
Oct-06	-0.5626	0.027
Nov-06	-0.5607	0.0269
Dec-06	-0.4722	0.0182

Return to Figure 2 (continued)

Figure 2d: Selected coefficients from rolling-window regressions using individual hedge funds. Coefficients on selected strategies.
date	Coefficient on reports having a long-bias strategy	Coefficient on reports having a short-bias strategy
Jun-98	1.142	0.3219
Jul-98	0.624	0.423
Aug-98	0.4623	0.8211
Sep-98	1.4587	0.0256
Oct-98	1.2281	-0.5342
Nov-98	0.7966	0.3525
Dec-98	0.7038	0.5879
Jan-99	0.6506	0.7026
Feb-99	0.6305	0.576
Mar-99	0.4966	0.8438
Apr-99	0.6532	0.9293
May-99	0.6191	0.9889
Jun-99	0.4896	0.8167
Jul-99	0.3069	0.4831
Aug-99	0.2052	0.207
Sep-99	0.3496	0.1452
Oct-99	0.3362	0.0554
Nov-99	0.349	-0.0028
Dec-99	0.307	0.0454
Jan-00	0.339	-0.0214
Feb-00	0.3314	-0.0874
Mar-00	0.2073	-0.1488
Apr-00	0.2643	-0.2366
May-00	0.27	-0.3131
Jun-00	0.2245	-0.1888
Jul-00	0.2836	-0.1987
Aug-00	0.2723	-0.128
Sep-00	0.3752	-0.1605
Oct-00	0.3709	-0.0688
Nov-00	0.4313	0.0224
Dec-00	0.3304	-0.0095
Jan-01	0.4431	-0.0603
Feb-01	0.523	-0.17
Mar-01	0.5686	-0.3556
Apr-01	0.6299	-0.3295
May-01	0.6991	-0.4718
Jun-01	0.4841	-0.6584
Jul-01	0.2435	-0.5475
Aug-01	0.3717	-0.6786
Sep-01	0.4065	-0.5687
Oct-01	0.2903	-0.6414
Nov-01	0.3715	-0.6217
Dec-01	0.561	-0.8491
Jan-02	0.4852	-0.8426
Feb-02	0.529	-1.132
Mar-02	0.5276	-1.3143
Apr-02	0.4154	-1.183
May-02	0.427	-1.0317
Jun-02	0.3254	-1.382
Jul-02	0.0538	-1.2373
Aug-02	0.1694	-1.0602
Sep-02	0.1569	-1.0592
Oct-02	-0.0497	-1.1047
Nov-02	-0.0251	-1.2702
Dec-02	0.297	-0.2952
Jan-03	0.0825	-0.0954
Feb-03	-0.173	0.1714
Mar-03	-0.4089	0.3379
Apr-03	-0.5175	0.2489
May-03	-0.2912	0.2415
Jun-03	-0.2402	0.2186
Jul-03	0.0638	0.2031
Aug-03	-0.072	0.2608
Sep-03	-0.1631	0.3647
Oct-03	0.1018	0.1782
Nov-03	0.1595	0.2965
Dec-03	0.1044	0.2826
Jan-04	0.0597	0.2405
Feb-04	0.2094	0.337
Mar-04	0.1141	0.4078
Apr-04	0.0812	0.3804
May-04	-0.0078	0.5285
Jun-04	-0.1428	0.609
Jul-04	-0.209	0.6574
Aug-04	-0.2563	0.6475
Sep-04	-0.2079	0.6005
Oct-04	-0.2475	0.6923
Nov-04	-0.283	0.9148
Dec-04	-0.4843	1.0831
Jan-05	-0.6475	1.1836
Feb-05	-0.7267	1.2391
Mar-05	-0.8862	1.3563
Apr-05	-0.6551	1.4349
May-05	-0.5544	1.4765
Jun-05	-0.5728	1.609
Jul-05	-0.68	1.7261
Aug-05	-0.8288	1.8927
Sep-05	-0.8059	1.9647
Oct-05	-1.0616	2.046
Nov-05	-1.0016	2.0206
Dec-05	-0.9743	1.9837
Jan-06	-0.8189	2.1259
Feb-06	-0.6384	2.2659
Mar-06	-0.6214	2.255
Apr-06	-0.7274	2.2911
May-06	-0.6878	2.2412
Jun-06	-0.0138	2.4937
Jul-06	0.4135	2.1739
Aug-06	0.7104	2.023
Sep-06	0.3065	2.3672
Oct-06	0.3869	2.28
Nov-06	0.3914	2.2995
Dec-06	0.4549	2.1615

Return to Figure 2 (continued)

Figure 3a: Selected coefficients from rolling-window regressions using industry aggregate data. Coefficients on selected market returns
date	Coefficient on return on the S&P 500	Coefficient on return on emergign market equities index	Coefficient on foreign exchange index
Jun-98	0.045359777	-0.028725809	0.01993163
Jul-98	-0.021674435	0.010478689	0.043588406
Aug-98	-0.025093299	0.012205077	0.048480014
Sep-98	-0.022026015	0.014905281	0.044748628
Oct-98	-0.022532826	0.014274488	0.0509935
Nov-98	-0.02825233	0.017654979	0.065638351
Dec-98	-0.021655211	0.012690797	0.053183078
Jan-99	-0.033805931	0.017036699	0.01587837
Feb-99	-0.032192915	0.01654871	0.005770192
Mar-99	-0.028576145	0.019192208	0.033957827
Apr-99	-0.032440867	0.021282619	0.039114172
May-99	-0.032482238	0.022376151	0.026171548
Jun-99	-0.043664662	0.030680311	0.020536822
Jul-99	-0.044013386	0.026678436	0.008840838
Aug-99	-0.041387287	0.025154727	0.022753247
Sep-99	-0.038159119	0.029664656	0.043101224
Oct-99	-0.028270625	0.024848803	0.046975491
Nov-99	-0.032375422	0.026002194	0.045950195
Dec-99	-0.033327086	0.0294436	0.053812207
Jan-00	-0.035035411	0.030271385	0.057906506
Feb-00	-0.029798755	0.027817408	0.050917792
Mar-00	-0.016851008	0.024703122	0.043056618
Apr-00	-0.01030642	0.016294351	0.073514621
May-00	-0.009736892	0.021371265	0.074078011
Jun-00	-0.014317665	0.020363971	0.073075641
Jul-00	-0.014924629	0.021258207	0.077337428
Aug-00	-0.023271642	0.025889786	0.074189975
Sep-00	-0.02645401	0.022638884	0.072106239
Oct-00	-0.020057917	0.016100714	0.078211367
Nov-00	-0.025792907	0.014654784	0.069155405
Dec-00	-0.026951185	0.014328783	0.062609441
Jan-01	-0.028273582	0.012148828	0.056776987
Feb-01	-0.028678672	0.010899774	0.05290625
Mar-01	-0.034638951	0.01546289	0.032272126
Apr-01	-0.033348049	0.014684342	0.029760026
May-01	-0.044689149	0.0205996	0.032737039
Jun-01	-0.035230069	0.018461152	0.037651569
Jul-01	-0.038145059	0.020346917	0.03665768
Aug-01	-0.032830752	0.021138786	0.067059705
Sep-01	-0.021163939	0.018499141	0.073081184
Oct-01	-0.023584933	0.016020729	0.052704518
Nov-01	-0.022509461	0.015962553	0.048486614
Dec-01	-0.019954633	0.012953433	0.053555943
Jan-02	-0.022817058	0.012209996	0.040319795
Feb-02	-0.020065127	0.011538961	0.048611731
Mar-02	-0.018336657	0.00756125	0.05054543
Apr-02	-0.015928322	0.006070345	0.05816574
May-02	-0.015444825	0.006163728	0.05578992
Jun-02	-0.023021289	0.009771028	0.050247618
Jul-02	-0.020467167	0.006372539	0.027139482
Aug-02	-0.022525555	0.009073147	0.023824843
Sep-02	-0.021393685	0.007249868	0.021861645
Oct-02	-0.025715641	0.0092511	0.020240633
Nov-02	-0.023054655	0.006860754	0.023111526
Dec-02	-0.03313558	0.014476369	0.012298872
Jan-03	-0.02246565	0.006928002	-0.003079723
Feb-03	-0.01753649	0.010939754	-0.001787017
Mar-03	-0.016722674	0.010984112	-0.000491438
Apr-03	-0.019181922	0.011664674	-0.001709443
May-03	-0.018461807	0.011064699	-0.003736362
Jun-03	-0.019616507	0.012411418	-0.004835931
Jul-03	-0.008872551	0.000637502	0.011820353
Aug-03	-0.017388452	0.004632379	0.029378705
Sep-03	-0.013889279	0.00135642	0.007602358
Oct-03	-0.011540129	-0.001505279	0.005820123
Nov-03	-0.017829651	0.002922862	0.013177563
Dec-03	-0.019506505	0.006057144	0.008997708
Jan-04	-0.026788872	0.00778234	-0.01788944
Feb-04	-0.025071406	0.005614888	-0.021148414
Mar-04	-0.025338132	0.005172177	-0.024611369
Apr-04	-0.041235247	0.024940916	-0.046446764
May-04	-0.037431132	0.023114518	-0.047819285
Jun-04	-0.038539612	0.023863336	-0.047404838
Jul-04	-0.032216687	0.019949675	-0.052483297
Aug-04	-0.058712651	0.037996735	-0.039278359
Sep-04	-0.060787837	0.038673986	-0.0363159
Oct-04	-0.053211153	0.034324599	-0.036187385
Nov-04	-0.063058068	0.040664992	-0.041634962
Dec-04	-0.058249161	0.037455378	-0.040608783
Jan-05	-0.0628233	0.040573384	-0.042897882
Feb-05	-0.038725684	0.02696507	-0.038922335
Mar-05	-0.037237961	0.026371808	-0.039241256
Apr-05	-0.045935194	0.032061998	-0.040568168
May-05	-0.04857038	0.034192229	-0.052530413
Jun-05	-0.044799804	0.034245648	-0.059716808
Jul-05	-0.046565795	0.037034436	-0.057899211
Aug-05	-0.045033846	0.036651975	-0.060779554
Sep-05	-0.040249016	0.034607888	-0.077212622
Oct-05	-0.045929068	0.037804201	-0.068604011
Nov-05	-0.038676526	0.037125665	-0.055717437
Dec-05	-0.03411015	0.031164878	-0.042271664
Jan-06	-0.040239349	0.034112795	-0.03406529
Feb-06	-0.042404417	0.032221779	-0.041245535
Mar-06	-0.041975046	0.034512838	-0.037562863
Apr-06	-0.036419855	0.032621952	-0.022853121
May-06	-0.032160283	0.021729062	-0.032543332
Jun-06	-0.028209786	0.017605726	-0.048473663
Jul-06	-0.028536471	0.018123086	-0.052250237
Aug-06	-0.027662573	0.018182093	-0.048547363
Sep-06	-0.021474341	0.016967113	-0.04063902
Oct-06	-0.026811655	0.019708643	-0.035024793
Nov-06	-0.021752228	0.015935595	-0.041810666
Dec-06	-0.03133302	0.017690022	-0.009619552

Return to Figure 3

Figure 3b: Selected coefficients from rolling-window regressions using industry aggregate data. Coefficients on selected market volatility measures
date	Coefficient on volatility of the S&P 500	Coefficient on volatility of foreign exchange index	Coefficient on volatility of one-month LIBOR rates
Jun-98	-0.0833907	-0.35212115	-0.426125795
Jul-98	-0.005460315	-0.067918383	-0.445311685
Aug-98	0.003803738	-0.034825564	-0.474868099
Sep-98	-0.011675853	0.026917132	-0.469540133
Oct-98	0.032291133	-0.078787476	-0.512505918
Nov-98	-0.052220746	-0.192327958	-0.235899495
Dec-98	-0.052424274	-0.459865963	-0.236054364
Jan-99	-0.003577887	-0.19808217	0.099895763
Feb-99	-0.031640532	-0.056616124	0.190179903
Mar-99	-0.117482601	-0.059270575	0.009003963
Apr-99	-0.13041486	0.024018331	-0.009328027
May-99	-0.119610783	0.065661521	0.033835699
Jun-99	-0.105253824	0.516084443	0.041581491
Jul-99	-0.320296866	0.471297572	0.022074826
Aug-99	-0.456542622	0.859515858	-0.052287696
Sep-99	-0.335899122	0.60086577	-0.0332003
Oct-99	-0.267840153	0.661468774	-0.052044117
Nov-99	-0.275232083	0.692482599	-0.016224591
Dec-99	-0.249193474	0.644510459	-0.021170189
Jan-00	-0.230615538	0.679815859	-0.025362252
Feb-00	-0.225849467	0.875255318	0.001225744
Mar-00	-0.163597986	0.763717744	0.00515343
Apr-00	-0.141247	0.800023027	-0.004353223
May-00	0.045424873	0.531296306	0.001112796
Jun-00	0.003859066	0.605822758	0.002729578
Jul-00	0.019362019	0.641247579	0.002647204
Aug-00	0.150215333	0.903578793	0.010967735
Sep-00	0.147650924	1.110821697	0.010405735
Oct-00	0.189409276	0.990250635	0.004291865
Nov-00	0.158222951	1.042167696	0.025412985
Dec-00	0.190834499	0.955569776	0.022364477
Jan-01	0.219624535	0.980508197	0.036574133
Feb-01	0.218404226	0.861119545	0.036655937
Mar-01	0.189761607	0.753591649	0.04213415
Apr-01	0.197210559	0.7665713	0.047562537
May-01	0.245881825	0.980669101	0.079851169
Jun-01	0.21471169	0.943281488	0.072779309
Jul-01	0.235760315	0.97923862	0.085104619
Aug-01	0.27955185	1.248774724	0.086763982
Sep-01	0.197612188	1.332310866	0.030230246
Oct-01	0.190689613	1.409051114	0.058600522
Nov-01	0.183951442	1.348463954	0.055680963
Dec-01	0.154440752	1.405609621	0.060006761
Jan-02	0.189598938	1.477921965	0.056153686
Feb-02	0.184087141	1.388433815	0.067359485
Mar-02	0.176018797	1.679031785	0.079865817
Apr-02	0.136456652	1.725550673	0.084509288
May-02	0.159080933	1.590679501	0.082590016
Jun-02	0.20574261	1.589291034	0.079346798
Jul-02	0.041006939	0.914796475	0.118735901
Aug-02	0.067754906	0.856191468	0.109533367
Sep-02	0.054843346	0.900240128	0.117083871
Oct-02	0.054101058	0.984944629	0.113903672
Nov-02	0.033700655	0.806269578	0.11725032
Dec-02	0.105153298	0.4801057	0.127218265
Jan-03	0.089517575	1.009979318	0.166694134
Feb-03	0.02887823	1.3564311	0.174915798
Mar-03	0.016646309	1.377993952	0.177565325
Apr-03	0.037961804	1.277654786	0.179813193
May-03	0.030376565	1.157748756	0.178439028
Jun-03	0.065912578	0.910040887	0.16243541
Jul-03	-0.04489886	0.971506623	0.150758951
Aug-03	-0.054398314	0.478476888	0.134013848
Sep-03	-0.046889155	0.593293542	0.146669462
Oct-03	-0.064919206	0.66041671	0.150115214
Nov-03	-0.001259648	0.146804077	0.130365719
Dec-03	0.00462905	0.404160118	0.119234994
Jan-04	0.04437187	0.047192392	0.126541314
Feb-04	0.04399744	0.029626379	0.130818669
Mar-04	0.035877679	0.059348252	0.128575049
Apr-04	0.178786767	0.102630079	0.140954582
May-04	0.222239269	0.185347711	0.107528353
Jun-04	0.209073622	0.102145306	0.123745113
Jul-04	0.212815675	0.136953415	0.109657263
Aug-04	0.120714117	-0.167784551	0.092867832
Sep-04	0.101904286	-0.155983368	0.095715315
Oct-04	-0.063488314	0.350857111	0.117809435
Nov-04	-0.016143789	0.252230012	0.111670576
Dec-04	0.013191208	0.266479228	0.119240484
Jan-05	0.020142337	0.35723648	0.12445762
Feb-05	-0.067297034	0.353263583	0.115055476
Mar-05	-0.065584729	0.375938978	0.105491497
Apr-05	-0.059165591	0.290346464	0.128202939
May-05	-0.025329715	0.443473449	0.131833379
Jun-05	0.022347094	0.408504846	0.120479117
Jul-05	0.032832126	0.432766684	0.116345282
Aug-05	0.036965085	0.595049531	0.13133138
Sep-05	-0.029642614	0.791685296	0.147524098
Oct-05	-0.078234047	0.831027794	0.133027051
Nov-05	-0.098884131	0.618013735	0.106404715
Dec-05	-0.090129184	0.314862437	0.089126264
Jan-06	-0.105926437	0.425223526	0.098495912
Feb-06	-0.128905217	0.267594802	0.087507982
Mar-06	-0.108260176	0.23075365	0.077822938
Apr-06	-0.15394187	0.265881057	0.080013817
May-06	-0.158574311	0.198062161	0.102497473
Jun-06	-0.175508089	0.397316329	0.100678301
Jul-06	-0.158635315	0.44069654	0.089476688
Aug-06	-0.178593045	0.409915113	0.089208611
Sep-06	-0.252598106	0.330357145	0.075865964
Oct-06	-0.349999856	0.200329602	0.071219975
Nov-06	-0.369247853	0.26463121	0.074289247
Dec-06	-0.240470708	-0.153098397	0.096735655

Return to Figure 3

Figure 3c: Selected coefficients from rolling-window regressions using industry aggregate data. Coefficients on hedge fund characteristics and strategies
date	Coefficient on share of funds uisng a lock-up period	Coefficient on share of funds reporting the use of leverage	Coefficient on share of funds reporting a short-bias strategy
Jun-98	-0.62181803	0.167928009	-0.023323485
Jul-98	-0.480405628	0.098702366	-0.012918278
Aug-98	-0.367958256	0.145384757	0.017145119
Sep-98	-0.212193377	0.18619884	0.034098734
Oct-98	-0.197537448	0.180551227	0.076563938
Nov-98	-0.088082437	0.18616493	0.059810656
Dec-98	0.063939054	0.140962282	0.062185314
Jan-99	-0.402512799	0.099817012	-0.002746714
Feb-99	-0.540617762	0.066804206	-0.041031959
Mar-99	-0.343507423	0.220730942	-0.073668915
Apr-99	-0.315461699	0.237804055	-0.113141473
May-99	-0.396244479	0.246155101	-0.126002851
Jun-99	-0.401216094	0.367147088	-0.343853282
Jul-99	-0.340954004	0.365218141	-0.342189172
Aug-99	-0.268227102	0.462035226	-0.464231567
Sep-99	-0.365885232	0.55059588	-0.544024248
Oct-99	-0.300340231	0.509657337	-0.574289756
Nov-99	-0.294071978	0.495971296	-0.602249344
Dec-99	-0.369179904	0.56994654	-0.687759813
Jan-00	-0.359153839	0.562419268	-0.682507649
Feb-00	-0.413326836	0.497690677	-0.672599506
Mar-00	-0.427560246	0.573310671	-0.753602624
Apr-00	-0.337850671	0.540457298	-0.687594152
May-00	-0.402878722	0.538921827	-0.728815913
Jun-00	-0.359308018	0.428341198	-0.701883545
Jul-00	-0.366126831	0.391726124	-0.708368147
Aug-00	-0.394495234	0.338828784	-0.760191885
Sep-00	-0.355548968	0.278034247	-0.778099383
Oct-00	-0.30497402	0.067078866	-0.758319035
Nov-00	-0.311145597	-0.094358013	-0.832062545
Dec-00	-0.291487368	-0.227167955	-0.829396728
Jan-01	-0.285556161	-0.440404345	-0.864916886
Feb-01	-0.290550281	-0.528022038	-0.911886895
Mar-01	-0.309938805	-0.39241286	-0.905862731
Apr-01	-0.312890786	-0.403594883	-0.911200958
May-01	-0.429235608	-0.595596495	-1.012678103
Jun-01	-0.468954018	-0.686940048	-0.909873106
Jul-01	-0.442626485	-0.546532812	-0.854994881
Aug-01	-0.353336602	-0.409991738	-0.738350213
Sep-01	-0.306646008	-0.266256495	-0.53516771
Oct-01	-0.279510032	-0.088335297	-0.443698529
Nov-01	-0.272746491	-0.113496789	-0.468069386
Dec-01	-0.309828804	-0.141005712	-0.466980519
Jan-02	-0.272759156	0.053213148	-0.426292987
Feb-02	-0.274513609	0.044987711	-0.389966626
Mar-02	-0.313861563	0.157590681	-0.332857957
Apr-02	-0.322364814	0.143303461	-0.30154528
May-02	-0.312106986	0.162516528	-0.325989015
Jun-02	-0.290428352	0.28622134	-0.397297138
Jul-02	-0.236056054	0.421058804	-0.343936229
Aug-02	-0.220165798	0.435710695	-0.379414548
Sep-02	-0.223355823	0.447287663	-0.334351097
Oct-02	-0.204632088	0.503488424	-0.355921935
Nov-02	-0.204650006	0.490722236	-0.370872943
Dec-02	-0.203288953	0.463611364	-0.376879547
Jan-03	-0.207936357	0.431528927	-0.175922492
Feb-03	-0.221247774	0.34915837	-0.047339816
Mar-03	-0.210502568	0.313006043	0.030515062
Apr-03	-0.203874957	0.334008267	0.027652488
May-03	-0.227274517	0.316877332	0.129699926
Jun-03	-0.218903817	0.358773537	0.109810597
Jul-03	-0.237948923	0.262342038	0.189667008
Aug-03	-0.232584765	0.17382929	0.169318427
Sep-03	-0.239418985	0.133526615	0.162517959
Oct-03	-0.240435171	0.142038995	0.145338198
Nov-03	-0.236648184	0.095678393	0.195489267
Dec-03	-0.230819513	0.135094934	0.272113424
Jan-04	-0.237990367	0.108005946	0.322860868
Feb-04	-0.234194106	0.121221778	0.311194907
Mar-04	-0.23723196	0.101195119	0.33213561
Apr-04	-0.174404507	0.158024618	0.175392001
May-04	-0.13521665	0.165839662	0.156397209
Jun-04	-0.156219861	0.149602335	0.21299966
Jul-04	-0.114160758	0.144191334	0.18133288
Aug-04	-0.326447944	0.037409899	0.166993523
Sep-04	-0.327980856	0.037854525	0.168288836
Oct-04	-0.206031416	0.105792154	0.240458685
Nov-04	-0.277221004	0.100434843	0.118657186
Dec-04	-0.235169167	0.098420377	0.178408561
Jan-05	-0.222857047	0.100884065	0.157250706
Feb-05	-0.192930912	0.198677977	0.088756807
Mar-05	-0.241901709	0.226465874	0.080722131
Apr-05	-0.124002191	0.178333675	0.080605124
May-05	-0.091932247	0.120366983	0.144878761
Jun-05	-0.092739186	0.165528877	0.216348814
Jul-05	-0.103366608	0.214076153	0.187847033
Aug-05	-0.021824257	0.237765692	0.132157681
Sep-05	0.052342389	0.263155212	0.120805163
Oct-05	0.050192155	0.293554886	0.1235855
Nov-05	0.035817896	0.247060107	0.129378114
Dec-05	-0.098583397	0.22956676	0.118967097
Jan-06	-0.142994992	0.282267872	0.123009051
Feb-06	-0.141875842	0.187205563	0.10859469
Mar-06	-0.162251112	0.169344593	0.171594093
Apr-06	-0.094148732	0.178403475	0.309438163
May-06	-0.05817725	0.148191748	0.188328328
Jun-06	0.128016775	0.225052646	0.311857348
Jul-06	0.162296641	0.240328881	0.345939238
Aug-06	0.14272854	0.229187145	0.329690294
Sep-06	0.075182846	0.218590449	0.289754857
Oct-06	0.032241361	0.228513821	0.235769494
Nov-06	0.088412342	0.257646159	0.296663629
Dec-06	-0.02294524	0.127488204	0.040547945

Return to Figure 3

Figure 4: Actual and predicted number of failures based on individual hedge fund analysis
date	Actual failures	Predicted failures
Jul-98	15	4
Aug-98	8	37
Sep-98	3	20
Oct-98	4	3
Nov-98	5	6
Dec-98	6	10
Jan-99	0	11
Feb-99	1	19
Mar-99	7	1
Apr-99	7	2
May-99	2	1
Jun-99	5	1
Jul-99	7	0
Aug-99	9	1
Sep-99	8	0
Oct-99	8	3
Nov-99	12	28
Dec-99	14	18
Jan-00	9	48
Feb-00	2	37
Mar-00	6	6
Apr-00	16	0
May-00	7	22
Jun-00	10	15
Jul-00	8	25
Aug-00	0	28
Sep-00	7	14
Oct-00	9	10
Nov-00	7	34
Dec-00	11	66
Jan-01	4	49
Feb-01	13	73
Mar-01	7	73
Apr-01	5	14
May-01	0	12
Jun-01	2	6
Jul-01	8	1
Aug-01	3	17
Sep-01	5	21
Oct-01	5	5
Nov-01	6	12
Dec-01	29	60
Jan-02	6	15
Feb-02	5	3
Mar-02	6	5
Apr-02	4	3
May-02	8	0
Jun-02	11	2
Jul-02	5	45
Aug-02	8	0
Sep-02	7	16
Oct-02	4	1
Nov-02	9	1
Dec-02	19	35
Jan-03	5	0
Feb-03	5	0
Mar-03	9	0
Apr-03	5	0
May-03	5	0
Jun-03	7	0
Jul-03	12	0
Aug-03	8	0
Sep-03	11	0
Oct-03	11	2
Nov-03	6	17
Dec-03	9	62
Jan-04	3	8
Feb-04	5	2
Mar-04	9	2
Apr-04	5	39
May-04	11	2
Jun-04	10	2
Jul-04	5	4
Aug-04	10	0
Sep-04	12	5
Oct-04	6	1
Nov-04	12	7
Dec-04	17	92
Jan-05	7	3
Feb-05	11	6
Mar-05	7	6
Apr-05	11	0
May-05	3	0
Jun-05	16	1
Jul-05	13	1
Aug-05	6	1
Sep-05	10	9
Oct-05	7	1
Nov-05	15	0
Dec-05	18	81
Jan-06	11	2
Feb-06	11	1
Mar-06	9	3
Apr-06	2	3
May-06	12	6
Jun-06	10	6
Jul-06	7	8
Aug-06	11	17
Sep-06	8	24
Oct-06	8	14
Nov-06	3	10
Dec-06	27	36

Return to Figure 4

Figure 5: Actual and predicted number of failures based on industry aggregate analysis
date	Actual failures	Predicted failures
Jul-98	19	4
Aug-98	11	8
Sep-98	9	6
Oct-98	5	6
Nov-98	8	3
Dec-98	9	5
Jan-99	0	9
Feb-99	1	4
Mar-99	8	2
Apr-99	8	6
May-99	2	7
Jun-99	7	5
Jul-99	8	5
Aug-99	15	8
Sep-99	10	13
Oct-99	12	8
Nov-99	16	13
Dec-99	18	20
Jan-00	11	10
Feb-00	3	12
Mar-00	11	5
Apr-00	18	9
May-00	9	18
Jun-00	12	8
Jul-00	9	9
Aug-00	2	10
Sep-00	8	4
Oct-00	12	6
Nov-00	13	7
Dec-00	16	10
Jan-01	9	7
Feb-01	13	11
Mar-01	10	18
Apr-01	11	10
May-01	0	9
Jun-01	5	12
Jul-01	8	13
Aug-01	4	18
Sep-01	8	21
Oct-01	7	15
Nov-01	10	8
Dec-01	31	25
Jan-02	9	18
Feb-02	8	11
Mar-02	10	9
Apr-02	7	8
May-02	12	11
Jun-02	15	12
Jul-02	7	29
Aug-02	11	10
Sep-02	10	11
Oct-02	6	8
Nov-02	13	11
Dec-02	22	20
Jan-03	7	9
Feb-03	7	6
Mar-03	10	11
Apr-03	7	9
May-03	8	8
Jun-03	11	16
Jul-03	17	10
Aug-03	14	9
Sep-03	13	8
Oct-03	13	11
Nov-03	8	14
Dec-03	14	25
Jan-04	3	10
Feb-04	7	9
Mar-04	11	10
Apr-04	5	18
May-04	12	12
Jun-04	15	11
Jul-04	9	14
Aug-04	13	11
Sep-04	15	15
Oct-04	8	12
Nov-04	18	15
Dec-04	21	18
Jan-05	10	10
Feb-05	11	17
Mar-05	9	11
Apr-05	14	9
May-05	6	11
Jun-05	19	11
Jul-05	18	15
Aug-05	9	13
Sep-05	14	18
Oct-05	11	12
Nov-05	20	17
Dec-05	23	38
Jan-06	12	16
Feb-06	12	9
Mar-06	12	15
Apr-06	4	16
May-06	15	7
Jun-06	13	11
Jul-06	11	10
Aug-06	12	11
Sep-06	11	8
Oct-06	10	10
Nov-06	4	9
Dec-06	29	11

Return to Figure5

Figure 6: Predicted hedge fund failures under different stress scenarios based on industry aggregate regressions
date	Number hedge funds failing with repeat of August 1998	Number hedge funds failing with a stock market crash	Number of hedge funds failing with a fall in the dollar
7-31-98	8	15	12
8-31-98	11	12	9
9-30-98	9	8	5
10-31-98	8	6	6
11-30-98	8	5	5
12-31-98	11	9	9
1-31-99	4	4	5
2-28-99	1	2	2
3-31-99	3	2	3
4-30-99	6	5	5
5-31-99	5	4	5
6-30-99	4	2	3
7-31-99	4	3	4
8-31-99	5	3	3
9-30-99	6	3	3
10-31-99	8	4	5
11-30-99	9	5	6
12-31-99	8	4	5
1-31-00	6	3	3
2-29-00	4	3	2
3-31-00	3	1	1
4-30-00	5	2	1
5-31-00	4	1	1
6-30-00	4	1	1
7-31-00	4	1	1
8-31-00	5	1	1
9-30-00	4	1	1
10-31-00	7	2	2
11-30-00	9	3	2
12-31-00	9	3	2
1-31-01	8	2	2
2-28-01	16	6	5
3-31-01	13	4	6
4-30-01	16	6	6
5-31-01	10	2	2
6-30-01	12	3	3
7-31-01	15	3	3
8-31-01	15	3	2
9-30-01	12	3	2
10-31-01	11	2	2
11-30-01	13	3	2
12-31-01	15	4	2
1-31-02	16	4	2
2-28-02	14	4	2
3-31-02	16	4	2
4-30-02	15	5	2
5-31-02	18	5	2
6-30-02	18	4	2
7-31-02	12	4	3
8-31-02	10	3	3
9-30-02	12	4	4
10-31-02	11	4	3
11-30-02	12	5	4
12-31-02	13	4	4
1-31-03	10	2	2
2-28-03	10	2	2
3-31-03	11	2	2
4-30-03	11	2	2
5-31-03	11	2	2
6-30-03	10	2	2
7-31-03	12	4	3
8-31-03	13	6	4
9-30-03	17	6	4
10-31-03	17	7	4
11-30-03	16	7	5
12-31-03	12	5	4
1-31-04	13	5	5
2-29-04	13	6	6
3-31-04	15	6	6
4-30-04	14	3	6
5-31-04	16	3	5
6-30-04	20	3	6
7-31-04	19	3	5
8-31-04	7	5	26
9-30-04	7	5	27
10-31-04	6	4	13
11-30-04	6	4	20
12-31-04	7	3	14
1-31-05	6	3	12
2-28-05	8	5	11
3-31-05	7	4	11
4-30-05	9	4	10
5-31-05	9	4	11
6-30-05	14	3	7
7-31-05	13	3	6
8-31-05	12	3	6
9-30-05	12	3	6
10-31-05	11	3	8
11-30-05	11	4	7
12-31-05	7	5	10
1-31-06	6	4	10
2-28-06	8	5	10
3-31-06	8	4	9
4-30-06	6	3	5
5-31-06	11	6	6
6-30-06	11	5	6
7-31-06	10	5	6
8-31-06	11	5	7
9-30-06	9	6	6
10-31-06	8	6	4
11-30-06	7	4	3
12-31-06	11	8	6

Return to Figure 6

^♣ This version is optimized for use by screen readers. Descriptions for all mathematical expressions are provided in LaTex format. A printable pdf version is available. Return to Text