Impact of Fund Size on Hedge Fund Performance
University of St. Gallen - Swiss Institute of Banking and Finance
affiliation not provided to SSRN
Journal of Asset Management, Vol. 6, No. 3, pp. 219-238, 2005
This paper investigates whether the increase in assets flowing into the hedge fund industry diminishes returns and, in particular, whether larger hedge funds underperform smaller hedge funds, as is often conjectured, owing to limited capacity in certain hedge fund strategies. The impact of fund sizes is analysed with respect to fund returns, standard deviations, Sharpe ratios and alphas derived from a multi-asset class factor model.
Keywords: Hedge funds, performance, size, assets, flows
JEL Classification: G11, G23Accepted Paper Series
Date posted: July 13, 2007
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