<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>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.</p>
</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.

The Nexus Between Hedge Fund Size and Risk-Adjusted Performance

Bucharest University of Economic Studies, Babes-Bolyai University

Studia Universitatis Babes-Bolyai Oeconomica

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

{"article-title":"The Nexus Between Hedge Fund Size and Risk-Adjusted Performance"}

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...

The Nexus Between Hedge Fund Size and Risk-Adjusted Performance

Data publikacji: 30 gru 2021

Zakres stron: 40 - 56

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

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

© 2021 Daniela Catan, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

The Nexus Between Hedge Fund Size and Risk-Adjusted Performance

Data publikacji: 30 gru 2021

Zakres stron: 40 - 56

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

Słowa kluczowehedge funds, risk-adjusted performance, fund size, fund performance

© 2021 Daniela Catan, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

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