Impact of Fund Size on Hedge Fund Performance
Journal of Asset Management, Vol. 6, No. 3, pp. 219-238, 2005
Posted: 13 Jul 2007
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
Suggested Citation: Suggested Citation
Ammann, Manuel and Moerth, Patrick, Impact of Fund Size on Hedge Fund Performance. Journal of Asset Management, Vol. 6, No. 3, pp. 219-238, 2005, Available at SSRN: https://ssrn.com/abstract=1000176
Manuel Ammann (Contact Author)
University of St. Gallen - School of Finance ( email )
Unterer Graben 21
St.Gallen, CH-9000
Switzerland
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.
