Abstract
This paper provides recent evidence regarding the relationship between mutual fund size and risk-adjusted performance. A sample of 64 no-load funds was grouped into four size quartiles based on the total assets under administration at the beginning of each year for the 1970-1984 period. Standard measures of portfolio performance were then computed for each quartile. Consistent with a size effect, the results of this study provide some evidence of higher returns for smaller mutual funds. However, the abnormal returns are not statistically significant when performance is evaluated using Jensens Index.
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