Diseconomies of Scale in the Hedge Fund Industry

• المؤلف الرئيسي: TEO, Melvyn
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2012
• الموضوعات: hedge funds; fund size; alpha; macro funds; Finance and Financial Management
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/bnp_research/21; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1022&context=bnp_research

How does fund size impact fund performance in the hedge fund industry? We find unsurprisingly that fund size crimps both raw and risk-adjusted fund returns for the average hedge fund. An increase in fund assets under management from US$20m to US$1bn decreases fund alpha by 2.04 percent per year. How...