Capacity Constraints in Hedge Funds: The Relation between Fund Performance and Cohort Size
研究发现对冲基金业绩与同类群组规模显著负相关，表明策略层面的规模不经济；基金规模与业绩的关系不稳定，仅在竞争有限时显著。
We provide evidence consistent with scale diseconomies for hedge funds being related to the aggregate assets pursing particular investment strategies. This study extends Forsberg, Gallagher and Warren who identified skilled managers with persistent performance by forming peer cohorts of hedge funds using return correlations. Our analysis shows fund performance had a significant negative relation with cohort size, while the relation with fund size is inconsistent across specifications but evident where funds faced limited competition. We also document a weaker relation between performance and inflows where funds faced less competition, suggesting that cohort structure might influence propensity to accept assets.