Estimating Capacity Constraints for Equity Strategies

Authors: Cheung, W. and Hofmeyr, A.

Publisher: Lehman Brothers


What is the maximum amount of assets under management (AUM) that can be supported by an equity strategy? At what point do reductions in performance due to transaction and other costs outweigh the benefits of increased AUM? We seek to answer these questions by introducing a back-tested simulation framework for estimating portfolio capacity for regular rebalancers.

Source: Manual