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Impact of Fund Size on Hedge Fund PerformanceManuel AmmannUniversity of St. Gallen - Swiss Institute of Banking and Finance Patrick Moerthaffiliation not provided to SSRN Journal of Asset Management, Vol. 6, No. 3, pp. 219-238, 2005 Abstract: 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, G23 Accepted Paper SeriesDate posted: July 13, 2007Suggested Citation |
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