Impact of Fund Size and Fund Flows on Hedge Fund Performance
Journal
The Journal of Alternative Investments
ISSN
1520-3255
Type
journal article
Date Issued
2008-01-01
Author(s)
Abstract
Capacity issues based on large inflows in well-performing hedge funds are among the most frequently discussed concerns in the hedge fund industry. In this article the impact of asset flows and fund sizes on hedge fund and CTA performance is investigated. The findings confirm the legitimacy of investor concerns regarding capacity issues in the hedge fund industry. The results of the empirical study suggest a strong negative relationship between fund sizes and hedge fund returns, standard deviations, Sharpe ratios, and alphas derived from an asset class multi-factor model.
Language
English
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Institutional Investor
Publisher place
New York, NY
Volume
11
Number
1
Start page
78
End page
96
Pages
19
Subject(s)
Division(s)
Eprints ID
47630
File(s)![Thumbnail Image]()
Name
Ammann_Moerth_Impact of Fund Size on Hedge Fund Performance_2005.pdf
Size
304.51 KB
Format
Adobe PDF
Checksum (MD5)
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