Updated with correction
Small hedge funds managing less than $100 million on average outperformed large funds (managing more than $500 million) and midsize funds ($100 million to $500 million) in 12 of the 16 years ended Dec. 31, 2011, according to new data from PerTrac, a financial software provider.
The exceptions were in down market years, such as 2008, when large hedge funds returned an average -14.1%; midsize funds, -16.04%; and small funds, -17.03%. In 2009, midsize plans outperformed their smaller and larger brethren with an average return of 22.61%, compared to 21.5% and 18.72%, respectively.
In 2011, large hedge funds returned an average -2.63%, compared to -2.78% for small funds and -2.95% for midsize funds, according to PerTrac's sixth annual report, “Impact of Size and Age on Hedge Fund Performance.”
However, “the findings suggest that investors … should examine funds with over $500 million in AUM, since the average large fund has had lower losses in negative performance years and lower annualized (standard) deviation figures compared to the average small fund,” said Jed Alpert, PerTrac's managing director, global marketing, in a news release accompanying the report.
PerTrac researchers compiled and scrubbed duplicate information from 15 global hedge fund databases as part of their analysis.