AMBIENTUM BIOETHICA BIOLOGIA CHEMIA DIGITALIA DRAMATICA EDUCATIO ARTIS GYMNAST. ENGINEERING EPHEMERIDES EUROPAEA GEOGRAPHIA GEOLOGIA HISTORIA HISTORIA ARTIUM INFORMATICA IURISPRUDENTIA MATHEMATICA MUSICA NEGOTIA OECONOMICA PHILOLOGIA PHILOSOPHIA PHYSICA POLITICA PSYCHOLOGIA-PAEDAGOGIA SOCIOLOGIA THEOLOGIA CATHOLICA THEOLOGIA CATHOLICA LATIN THEOLOGIA GR.-CATH. VARAD THEOLOGIA ORTHODOXA THEOLOGIA REF. TRANSYLVAN
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STUDIA OECONOMICA - Ediţia nr.3 din 2021 | |||||||
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THE NEXUS BETWEEN HEDGE FUND SIZE AND RISK-ADJUSTED PERFORMANCE. Autori: DANIELA CATAN. |
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Rezumat: DOI: 10.2478/subboec-2021-0013 Published Online: 2021-12-30 Published Print: 2021-12-30 pp. 40-56 VIEW PDF FULL PDF 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. Keywords: hedge funds, risk-adjusted performance, fund size, fund performance JEL classification: G11, G23, G32. |
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