THE NEXUS BETWEEN HEDGE FUND SIZE AND RISK-ADJUSTED PERFORMANCE

Daniela CATAN

doi:10.2478/subboec-2021-0013

Authors

Daniela CATAN Bucharest University of Economic Studies, Babes-Bolyai University, Romania

DOI:

https://doi.org/10.2478/subboec-2021-0013

Keywords:

hedge funds, risk-adjusted performance, fund size, fund performance

Abstract

This paper explores the relationship between hedge fund size and risk-adjusted performance employing a data sample of 245 US hedge funds classified into eight different investment strategies. The studied period spans from January 2005 to February 2021, with calculations performed both on the whole coverage period as well as three sub-periods, to isolate the pre-crisis, crisis, and post-crisis funds’ behavior. Similar to previous evidence found in the literature, the results reveal an inverse relationship between hedge fund size and risk-adjusted performance (as measured by the Sharpe, Treynor and Black-Treynor ratios) in most of the cases.

JEL classification: G11, G23, G32.

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