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CONTRIBUTORS:
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JOURNAL:
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Journal of Asset Management,
6(3),
219 -
238.
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YEAR:
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2005
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PUB TYPE:
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Journal Article
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SUBJECT(S):
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performance, hedge funds, size
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DISCIPLINE:
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Economics
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HTTP:
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http://www.manuel-ammann.com
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LANGUAGE:
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English
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PUB ID:
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103-436-735
(Last edited on
2007/07/30 10:12:14 GMT-6)
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SPONSOR(S):
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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.
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STATISTICS
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