PT  - JOURNAL ARTICLE
AU  - Vitaly Serbin
AU  - Peter M Bull
AU  - Howard Zhu
TI  - The Capacity of Liquidity-Demanding Equity Strategies
AID  - 10.3905/JPM.2009.36.1.078
DP  - 2009 Oct 31
TA  - The Journal of Portfolio Management
PG  - 78--89
VI  - 36
IP  - 1
4099  - https://pm-research.com/content/36/1/78.short
4100  - https://pm-research.com/content/36/1/78.full
AB  - 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