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Article

The Capacity of Liquidity-Demanding Equity Strategies

Vitaly Serbin, Peter M Bull and Howard Zhu
The Journal of Portfolio Management Fall 2009, 36 (1) 78-89; DOI: https://doi.org/10.3905/JPM.2009.36.1.078
Vitaly Serbin
is head of the Portfolio Analytics Group at Investment Technology Group, Inc., in Boston, MA.
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  • For correspondence: vitaly.serbin@itg.com
Peter M Bull
is a portfolio manager and analyst at Realindex Investments in Sydney, Australia.
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  • For correspondence: peter.bull@realindexinvestments.com.au
Howard Zhu
is an analytical product specialist at MSCI Inc., in Hong Kong.
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  • For correspondence: howard.zhu@mscibarra.com
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Abstract

In this article, the authors investigate how capacity impacts the investment management process by studying the increasing market-impact costs of liquidity-demanding equity strategies as a function of the trading volume and turnover of typical trade lists. They simulate historical monthly alphas for a generic long–short equity strategy and use historical returns plus stock-specific market-impact cost estimates to compare performance as assets under management increase.

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The Capacity of Liquidity-Demanding Equity Strategies
Vitaly Serbin, Peter M Bull, Howard Zhu
The Journal of Portfolio Management Oct 2009, 36 (1) 78-89; DOI: 10.3905/JPM.2009.36.1.078

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The Capacity of Liquidity-Demanding Equity Strategies
Vitaly Serbin, Peter M Bull, Howard Zhu
The Journal of Portfolio Management Oct 2009, 36 (1) 78-89; DOI: 10.3905/JPM.2009.36.1.078
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    • Abstract
    • THE MARKET-IMPACT PERSPECTIVE
    • MERGING ALPHAS AND COSTS: SIMULATION
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