Journal of Asset Management, Vol. 6, No. 3, pp. 219-238, 2005
Posted: 13 Jul 2007
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