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Capacity Analysis for Equity Funds

Michael O’Neill, Camille Schmidt and Geoffrey Warren
The Journal of Portfolio Management Spring 2018, 44 (5) 36-49; DOI: https://doi.org/10.3905/jpm.2018.44.5.036
Michael O’Neill
is a portfolio manager for Investors Mutual, Ltd. in Sydney, Australia, and an adjunct associate professor at Bond University in Gold Coast, Australia
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Camille Schmidt
is a market insights manager at SuperRatings in Sydney, Australia
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Geoffrey Warren
is an associate professor at the Australian National University in Canberra, Australia
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Abstract

This article discusses the definition and determinants of capacity and outlines a practical approach for analyzing the capacity of equity funds. It is argued that capacity analysis should focus on effective capacity, defined as the level of assets under management at which any additional investments would generate alpha below a minimum threshold at the margin, for the active component of a portfolio. The approach combines potential drivers into an integrated analysis and generates insight into the critical factors for the capacity of the strategy being analyzed. The approach is illustrated for a factor-based momentum strategy and an actual equity fund.

TOPICS: Security analysis and valuation, analysis of individual factors/risk premia, equity portfolio management

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The Journal of Portfolio Management: 44 (5)
The Journal of Portfolio Management
Vol. 44, Issue 5
Spring 2018
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Capacity Analysis for Equity Funds
Michael O’Neill, Camille Schmidt, Geoffrey Warren
The Journal of Portfolio Management Apr 2018, 44 (5) 36-49; DOI: 10.3905/jpm.2018.44.5.036

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Capacity Analysis for Equity Funds
Michael O’Neill, Camille Schmidt, Geoffrey Warren
The Journal of Portfolio Management Apr 2018, 44 (5) 36-49; DOI: 10.3905/jpm.2018.44.5.036
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  • Article
    • Abstract
    • BACKGROUND
    • DEFINING CAPACITY
    • CAPACITY ANALYSIS: AN INTEGRATED APPROACH
    • ILLUSTRATING THE APPROACH
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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