Whether 'size matters' or not to the average hedge fund matters is a question many ask; but as Goldman's Hugo Scott-Gall summarizes perfectly in this chart, it is clear that the preference for herding into the biggest of big caps is becoming ever more crowded. Certainly this likely accounts for the massive rise in correlations (and the over-crowded momentum factor style skew in the market [2]) but the dilemma is foraging for alpha in these huge mega-cap over-researched names is an ever-decreasing game of a-fraction-of-a-basis-point-of-alpha against a sea of beta - and for that mutual-fund-like return, you pay your 2-and-20.
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