Impact of Fund Size on Hedge Fund Performance
Journal
The journal of asset management
ISSN
1470-8272
Type
journal article
Date Issued
2005-10-01
Author(s)
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.
[http://www.manuel-ammann.com/pdf/PubsAmmannMoerth2005HedgeFundPerformance.pdf]
[http://www.manuel-ammann.com/pdf/PubsAmmannMoerth2005HedgeFundPerformance.pdf]
Language
English
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Palgrave Macmillan
Publisher place
Basingstoke
Volume
6
Number
3
Start page
219
End page
238
Pages
20
Subject(s)
Division(s)
Eprints ID
12582
File(s)![Thumbnail Image]()
Name
Impact of Fund Size on Hedge Fund Performance.pdf
Size
304.51 KB
Format
Adobe PDF
Checksum (MD5)
1cebe0f0c65feebaea5989b12c0d0d79