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City size and fund performance☆
Journal of Financial Economics, 2005Abstract The literature predicts that the average skill level and productivity are higher in larger cities. Prior studies use workers’ wage or education differentials to indirectly link city size and output. This article relates city size and productivity directly, using performance data of U.S. equity mutual funds.
Susan Kerr Christoffersen +1 more
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Index Fund Trading Costs are Inversely Related to Fund and Family Size
SSRN Electronic Journal, 2021Trading costs are a significant, but unobserved, drag on mutual fund performance. Because an index fund does not engage in securities selection or market timing, its net benchmark-adjusted return is equivalent, but opposite in sign, to its net trading costs. Using a sample of index funds, we find positive returns to scale at the fund and family levels.
John Adams, Darren Hayunga, Sattar Mansi
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Fund size and fund management skill
2023Με κίνητρο τη συνεχιζόμενη συζήτηση σχετικά με την αλληλεπίδραση μεταξύ του μεγέθους ενός αμοιβαίου κεφαλαίου και της απόδοσης του, διερευνούμε την επίδραση της αύξησης του ενεργητικού του αμοιβαίου κεφαλαίου στην απόδοσή του. Στο Κεφάλαιο 2, μετράμε ρητά το οικονομικό κέρδος (ζημία) ενός μικρού (μεγάλου) αμοιβαίου κεφαλαίου συγκρίνοντας τη μέση ...
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Mutual Fund Performance: Does Fund Size Matter?
Financial Analysts Journal, 1999Fund size (net assets under management) affects mutual fund performance. Mutual funds must attain a minimum fund size in order to achieve sufficient returns to justify their costs of acquiring and trading on information. Furthermore, there are diminishing marginal returns to information acquisition and trading, and the marginal returns become negative ...
Daniel C. Indro +3 more
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Impact of Size and Flows on Performance for Funds of Hedge Funds
The Journal of Portfolio Management, 2009After studying the impact of fund size and fund flows on the subsequent performance of funds of hedge funds, the authors find that funds with more assets tend to produce higher returns at lower levels of volatility, resulting in superior risk-adjusted performance.
James Xiong +3 more
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Effect of fund size on the performance of Australian superannuation funds
Accounting & Finance, 2012AbstractThis study examines the relationship between fund size and performance for two major superannuation industry sectors in Australia: retail and not‐for‐profit, using a unique but confidential database. Results suggest that members benefit from being invested in larger superannuation funds for three reasons: (i) larger not‐for‐profit funds provide
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Fund size and returns on the JSE
Investment Analysts Journal, 2010ABSTRACTMarket sentiment, the popular press and academia are divided on the question of whether the size of a fund affects its performance. This study examines the issue by constructing hypothetical portfolios of varying sizes, using historical data for each of the years 1991 to 2008. Each portfolio consisted of 40 randomly selected stocks, chosen from
Pillay, N., Muller, C., Ward, Michael
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Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization
American Economic Review, 2004 We investigate the effect of scale on performance in the active money management industry. We first document that fund returns, both before and after fees and expenses, decline with lagged fund size, even after adjusting these returns by various ...
Joseph Chen +2 more
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Capacity Constraints in Hedge Funds: The Impact of Cohort Size on Fund Performance
SSRN Electronic Journal, 2017We provide evidence that diseconomies of scale for hedge funds are driven by the aggregate assets pursing particular investment strategies. This study extends Forsberg, Gallagher and Warren (2021) who identified skilled managers with persistent performance by forming peer cohorts of hedge funds using return correlations.
Forsberg, David +2 more
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