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Impact of fund size on hedge fund performance

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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.Journal of Asset Management (2005) 6, 219–238; doi:10.1057/palgrave.jam.2240177

Document Type: Research Article

DOI: http://dx.doi.org/10.1057/palgrave.jam.2240177

Affiliations: 1Swiss Institute of Banking and Finance, University of St. Gallen, Rosenbergstrasse 52, CH-9000 St Gallen, Switzerland, Tel: +41 71224 7090, Fax: +41 71224 7088, Email: manuel.ammann@unisg.ch

Publication date: October 1, 2005

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