Impact of Fund Size on Hedge Fund Performance

Journal of Asset Management, Vol. 6, No. 3, pp. 219-238, 2005

Posted: 13 Jul 2007  

Manuel Ammann

University of St. Gallen - School of Finance

Patrick Moerth

affiliation not provided to SSRN

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

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

Patrick Moerth

affiliation not provided to SSRN ( email )

No Address Available

Paper statistics

Abstract Views
1,479