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Fund Size and Performance: Evidence from Daily Returns

Using daily mutual fund returns data from January 2000 to December 2017, we find that smaller funds perform better on Mondays, Tuesdays and Wednesdays whereas larger funds perform better on Thursdays and Fridays in terms of market-adjusted return, CAPM alpha, 3-Factor alpha and 4-Factor alpha. Overall, smaller funds perform better than larger funds. These patterns are not fully explained by the characteristics of fund holdings including stock size measured by market equity, Amihud illiquidity and bid-ask spread of stocks in fund portfolios. The results persist even after controlling for Active Share of funds and using benchmark-adjusted returns.