Does size matter in the hedge fund industry?

• Main Author: TEO, Song Wee Melvyn
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2009
• Subjects: size; hedge funds; capacity constraints; hierarchy costs; Corporate Finance; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/5174; https://ink.library.smu.edu.sg/context/lkcsb_research/article/6173/viewcontent/SSRN_id1331754.pdf
• Institution: Singapore Management University

We document a negative and convex relationship between hedge fund size and future risk-adjusted returns. Small hedge funds outperform large hedge funds by 3.65 percent per year after adjusting for risk. This over performance is not driven by fund age, leverage, serial correlation, or self-selection...