Estimating Capacity Constraints for Equity Strategies
Authors: Cheung, W. and Hofmeyr, A.
Publisher: Lehman BrothersAbstract:
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.