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Impact of fund size on hedge fund performance

Author

Listed:
  • Manuel Ammann

    (Swiss Institute of Banking and Finance, University of St. Gallen)

  • Patrick Moerth

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.

Suggested Citation

  • Manuel Ammann & Patrick Moerth, 2005. "Impact of fund size on hedge fund performance," Journal of Asset Management, Palgrave Macmillan, vol. 6(3), pages 219-238, October.
    • Handle: RePEc:pal:assmgt:v:6:y:2005:i:3:d:10.1057_palgrave.jam.2240177
    DOI: 10.1057/palgrave.jam.2240177
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    Cited by:

    1. Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," EconStor Preprints 260612, ZBW - Leibniz Information Centre for Economics.
    2. Braun, Alexander & Ben Ammar, Semir & Eling, Martin, 2019. "Asset pricing and extreme event risk: Common factors in ILS fund returns," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 59-78.
    3. Greg Filbeck & Timothy A. Krause & Lauren Reis, 2016. "Socially responsible investing in hedge funds," Journal of Asset Management, Palgrave Macmillan, vol. 17(6), pages 408-421, October.
    4. Rungmaitree, Pattamon & Boateng, Agyenim & Ahiabor, Frederick & Lu, Qinye, 2022. "Political risk, hedge fund strategies, and returns: Evidence from G7 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    5. Sevgi Eda Tuzcu & Emrah Ertugay, 2020. "Is size an input in the mutual fund performance evaluation with DEA?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 10(4), pages 635-659, December.
    6. Martin Eling, 2006. "Performance measurement of hedge funds using data envelopment analysis," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(4), pages 442-471, December.
    7. Samar Farid & Hayam Wahba, 2022. "The effect of fund size on mutual funds performance in Egypt," Future Business Journal, Springer, vol. 8(1), pages 1-11, December.
    8. Laurent Bodson & Laurent Cavenaile & Danielle Sougné, 2011. "Does size affect mutual fund performance? A general approach," Journal of Asset Management, Palgrave Macmillan, vol. 12(3), pages 163-171, August.

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