Nieuw wetenschappelijk onderzoek wijst uit dat ‘size matters’ in de hedge funds-industrie: ‘kleiner is beter’. De outperformance van kleinere hedge funds komt vooral van de betere prestaties tijdens stress in de financiële markten. Dit blijkt uit een uitgebreide studie van Professor Andrew Clare, Dr Dirk Nitzsche en Dr Nick Motson van de Cass Business School van de City University van Londen.
Over een periode van 1994 tot en met 2014 werd de relatie tussen grote en kleine hedge funds onderzocht en de resultaten hiervan werden uitgeschreven in een paper ‘Is There a Relationship Between Hedge Fund Size and Performance?’ Het gaat hier om een studie over dit onderwerp die wat betreft opzet (zoals de hoeveelheid gebruikte data) het meest omvattend is tot nu toe.
Professor Clare zegt: “Our results clearly indicate that hedge fund managers in most sectors of the industry do not benefit from significant economies of scale, in other words, increasing size can impede performance. It is possible that each hedge fund manager has only a limited set of ‘good ideas’ and that as the fund increases in size they have to incorporate other less profitable ideas. But perhaps our most surprising finding is that in periods of financial market distress, when one might expect size to be an advantage, it is not. In general, the outperformance of smaller hedge funds over larger hedge funds is particularly pronounced in periods of financial market distress.”
Het onderzoek vond plaats in opdracht van Gatemore Capital Management. Liad Meidar, Managing Partner bij Gatemore, zegt: “As specialists in hedge fund selection, we have observed that smaller funds tend to outperform on a risk-adjusted basis. While it was not surprising to see this confirmed by the study, we were surprised by the performance of smaller hedge funds during crisis periods. It is often the case that the bigger the hedge fund, the farther away the head portfolio managers are from the security-level analysis. This makes a significant difference when it comes to many strategies. The outperformance of smaller funds during crisis periods perhaps could be explained by the fact that many larger funds provide more liquidity. During times of stress, investors may tap the larger hedge funds as a source of liquidity – which forces the larger funds to sell during a time when they want to be buying.”
