Statistik › Aktivt, passivt och flöden › Fund size and alpha
Industry size erodes fund performance and fund size does not
| Level and specification | Effect | t | Authors' assessment |
|---|---|---|---|
| Own size, pooled | 0.17 bp a year | about -2 | likely to be biased |
| Own size, with fund fixed effects | about 2 bp a year | about -9 | biased |
| Own size, recursive demeaning | about 2.5 bp a year | about -0.6 | inte statistiskt signifikant |
| Industry size, no fixed effects | negativ | -1.9 | marginally significant |
| Industry size, with fund fixed effects | -0.0326% a month | -3.6 | strong negative relation |
| Industry size, 1979 to 2011 | roughly double the simple estimate | -4.3 | significant |
| Industry size, recursive demeaning | virtually identical point estimate | smaller but significant | significant |
3,126 funds, with the main panel covering 1993 to 2011 and an extended panel 1979 to 2011. Fund counts rise from 145 in 1979 to 1,574 in 2011. All regression estimates use gross benchmark adjusted returns. Own size is measured per 100 million dollars, inflated to December 2011 dollars; industry size is the fraction of total stock market capitalisation held by the industry, measured per percentage point.
A bias free estimator finds no significant relationship between a fund's own size and its performance, with a t statistic of about minus 0.6. The same study finds a robust industry level effect of roughly 40 basis points a year per percentage point of industry share.
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