THE NEXUS BETWEEN HEDGE FUND SIZE AND RISK-ADJUSTED PERFORMANCE
THE NEXUS BETWEEN HEDGE FUND SIZE AND RISK-ADJUSTED PERFORMANCE
Author(s): Daniela CatanSubject(s): Politics / Political Sciences, Politics, Economy, Economic policy, Financial Markets
Published by: Studia Universitatis Babes-Bolyai
Keywords: hedge funds; risk-adjusted performance; fund size; fund performance;
Summary/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.
Journal: Studia Universitatis Babes Bolyai - Oeconomica
- Issue Year: 66/2021
- Issue No: 3
- Page Range: 40-56
- Page Count: 17
- Language: English