RT Journal Article
SR Electronic
T1 Impact of Fund Size and Fund Flows on Hedge Fund Performance
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 78
OP 96
DO 10.3905/jai.2008.708851
VO 11
IS 1
A1 Manuel Ammann
A1 Patrick Moerth
YR 2008
UL https://pm-research.com/content/11/1/78.abstract
AB Capacity issues based on large inflows in well-performing hedge funds are among the most frequently discussed concerns in the hedge fund industry. In this article the impact of asset flows and fund sizes on hedge fund and CTA performance is investigated. The findings confirm the legitimacy of investor concerns regarding capacity issues in the hedge fund industry. The results of the empirical study suggest a strong negative relationship between fund sizes and hedge fund returns, standard deviations, Sharpe ratios, and alphas derived from an asset class multi-factor model.TOPICS: Real assets/alternative investments/private equity, commodities, futures and forward contracts, statistical methods