Impact of Size and Flows on Performance for Funds of Hedge Funds

Xiong, James X.; Idzorek, Thomas M.; Chen, Peng; Ibbotson, Roger G.

doi:10.3905/jpm.2009.35.2.118

Cited by 18 publications

(5 citation statements)

References 4 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…The possibility of a nonlinear link between size and performance has already been highlighted by Hedges (2004), Ammann and Moerth (2005), Getmansky (2004) and Xiong et al (2009) in the hedge fund context. Consequently, this section investigates whether there may also exist non-linearities in the relation between size and performance for mutual funds.…”

Section: Linear or Quadratic Relationship?mentioning

confidence: 89%

“…We extend the methodology used by Ammann and Moerth (2005) and Xiong et al (2009) 2 to determine the relation between fund size and performance by using additional performance measures. Besides the Sharpe ratio, we make use of two performance measures on the basis of a single factor model Capital Asset Pricing Model (CAPM), Jensen's a and Treynor ratio, as well as of two performance measures on the basis of a multifactor model (Fama-French model augmented with the Carhart momentum factor), a and one of the performance ratios proposed by Bodson et al (2010).…”

Section: Methodsmentioning

confidence: 99%

See 1 more Smart Citation

Does size affect mutual fund performance? A general approach

2011

View full text Add to dashboard Cite

Laurent Bodsonis a KBL assistant professor of Financial Management at HEC Management School -University of Liè ge. Laurent teaches several courses in finance and regularly provides executive seminars. Laurent is also a co-founder and head of asset management at Gambit Financial Solutions SA. His areas of expertise include portfolio and risk management, as both a practitioner and researcher. He has an extensive experience in non-Gaussian frameworks and he is specialized in investment and style analysis. Laurent Cavenaileis an associate researcher for the KBL Chair in Fund Industry at HEC Management School -University of Liè ge. He holds a master in economics from the University of Liè ge (Belgium) and an MSc in financial economics from Maastricht University (Netherlands). Danielle Sougnéis a professor of finance at HEC Management School, University of Liè ge, Belgium. She holds a PhD in finance from the Catholic University of Louvain, Belgium. She is an active teacher in the bank sector and handles a wide range of financial courses, ranging from fundamental to advanced levels of specialization for professionals. As a holder of the KBL Chair in Fund Industry at HEC, she carries out research on fund management and administration in an international context. ABSTRACT In this article, we study the potential relationship between mutual fund size and performance in a general framework. We sequentially test for a linear and a quadratic relationship using several traditional performance measures, as well as a new measure, on the basis of multi-factor models. We find evidence of a concave quadratic relationship between mutual-fund performance and size, which implies the existence of an optimal medium size in terms of performance.

show abstract

Section: Linear or Quadratic Relationship?mentioning

confidence: 89%

Section: Methodsmentioning

confidence: 99%

Does size affect mutual fund performance? A general approach

2011

View full text Add to dashboard Cite

show abstract

“…It was found that the age of funds is negatively correlated with their effectiveness, and younger funds obtained higher rates of return [O'Neal, Page 2000]. Xiong and others, who included 4,321 hedge funds on the US market in the period 1995-2006 [Xiong et al 2009], made similar claims. On the other hand, the studies of Busse et al did not show a significant impact of operation time of the funds on their effectiveness, and the stability of the obtained rates of return differed depending on the adopted model for assessing their effectiveness.…”

Section: Theoretical Backgroundmentioning

confidence: 96%

Duration of commodity funds operations in Poland and their effectiveness

Moskal¹,

Zawadzka²

2019

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

View full text Add to dashboard Cite

The effectiveness of investment results is one of the basic and most frequently analyzed issues related to investment funds. Research on factors affecting the effectiveness of funds in both foreign and Polish literature is rare. In the case of research on commodity funds, this is difficult due to the relatively young, still developing market. This study attempts to determine whether the duration of operation of commodity funds has an impact on the investment results obtained by them. To this end, the effectiveness of nine commodity funds operating on the Polish financial market in the period 2007-2018 was analyzed. As a measure of fund effectiveness, the rates of return and risk-adjusted measures were used: the Sharpe and Treynor ratios. The obtained results indicate that there is no clear relationship between the time of operation of commodity funds and the rates of return they receive.

show abstract

“…However, other researchers, such as Perold andJr (1991), andLowenstein (1997) believe that a large asset base erodes the performance of the fund due to the costs of trading associated with liquidity or price impact. Thus, fund managers should monitor their fund size regularly, since the fund size tends to fluctuate over the years, inasmuch as there is a maximum fund size after which performance declines as the fund size increases (Detzel, 2006 andXiong et al, 2009).…”

Section: Journal Of Management Researchmentioning

confidence: 99%