This paper empirically tests a two-levels model of decreasing returns to scale using a sample of hedge funds. The two-levels model assumes that a fund's gross alpha is a decreasing function of both the fund scale and the style scale measured by the aggregate size of peers in the hedge fund style. We find that a fund-level model underestimates the impact of diseconomies of scale on the gross alpha by 55 basis points. The results indicate that managers should consider the constraints imposed by the style scale when optimizing their portfolio sizes. We also provide evidence that hedge funds did not invest at their optimal amount and confirm that skill and the ability to resist decreasing returns to scale are two important components of selecting hedge fund performers.

本文使用对冲基金样本实证检验了规模收益递减的两级模型。两级模型假设基金的总阿尔法是基金规模和以对冲基金风格同行的总规模衡量的风格规模的减函数。我们发现，基金层面的模型低估了规模不经济对总 alpha 的影响 55 个基点。结果表明，经理在优化其投资组合规模时应考虑风格尺度所施加的约束。我们还提供了对冲基金没有以最佳数量进行投资的证据，并确认技能和抵抗规模收益递减的能力是选择对冲基金业绩的两个重要组成部分。