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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.
TOPICS: Equity portfolio management, performance measurement, portfolio theory
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