Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/wiley/evaluating-fund-capacity-issues-and-methods-2symfGWpw2
References (115)
-
David Lesmond, Michael Schill, Chunsheng Zhou (2004)
The Illusory Nature of Momentum ProfitsAFA 2002 Atlanta Meetings (Archive)
-
Jennifer Fellow, Tom Finance, Yushu Finance (2015)
Endogeneity in Accounting and Finance Research: Natural Experiments as a State-of-the-Art SolutionAbacus, 51
-
Zhiwu Chen, Werner Stanzl, M. Watanabe (2002)
Price Impact Costs and the Limit of ArbitrageFEN: Behavioral Finance (Topic)
-
(2005)
The dynamics of active portfolios -
Yossi Brandes, Ian Domowitz, V. Serbin (2011)
Transaction Costs And Equity Portfolio Capacity Analysis -
Josef Lakonishok, Andrei Shleifer, Robert Vishny (1993)
Contrarian Investment, Extrapolation, and RiskBehavioral & Experimental Finance
-
(2004)
Mutual fund flows and performance in rational markets -
E. Galariotis (2010)
What should we know about momentum investing? The case of the Australian Security ExchangePacific-basin Finance Journal, 18
-
R. Bird, P. Pellizzari, Danny Yeung (2011)
Performance Implications of Active Management of Institutional Mutual FundsBehavioral & Experimental Accounting eJournal
-
Jenni Bettman, Thomas Maher, Stephen Sault (2009)
Momentum Profits in the Australian Equity Market: A matched firm approachPacific-basin Finance Journal, 17
-
R. Schwartz, Benn Steil (2002)
Controlling Institutional Trading Costs, 28
-
Ferhat Akbas, W. Armstrong, Sorin Sorescu, A. Subrahmanyam (2015)
Smart Money, Dumb Money, and Capital Market AnomaliesERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)
-
(2013)
Transaction costs in the investment process, Presentation slides, Equity Quant Research Conferences Cycle, J.P.Morgan, Quantitative Solutions -
M. Linnenluecke, Xiaoyan Chen, Xin Ling, Thomas Smith, Yushu Zhu (2016)
Emerging trends in Asia-Pacific finance research: A review of recent influential publications and a research agendaPacific-basin Finance Journal, 36
-
L. Chan, Josef Lakonishok (1997)
Institutional Equity Trading Costs: NYSE Versus NasdaqJournal of Finance, 52
-
L. Chan, Josef Lakonishok (1993)
The Behavior of Stock Prices Around Institutional TradesJournal of Finance, 50
-
C. Chiyachantana, P. Jain (2009)
Institutional Trading FrictionsNew Institutional Economics
-
Gideon Saar (1999)
Price Impact Asymmetry of Block Trades: An Institutional Trading ExplanationOrganizations & Markets eJournal
-
Parametric emerging markets strategy capacity, White paper -
Marco Vangelisti (2006)
The Capacity of an Equity Strategy, 32
-
Su Gan, R. Heaney, P. Gerrans (2013)
Individual investor portfolio performance in retirement savings accountsAustralian Journal of Management, 40
-
Edward Qian, E. Sorensen, Ronald Hua (2007)
Information Horizon, Portfolio Turnover, and Optimal Alpha Models, 34
-
Florencio López‐de‐Silanes, Ludovic Phalippou, Oliver Gottschalg (2013)
Giants at the Gate: Investment Returns and Diseconomies of Scale in Private EquityJournal of Financial and Quantitative Analysis, 50
-
C. Peake (2009)
Hedge Funds: Performance, Risk, and Capital FormationCfa Digest, 39
-
Donald Keim, Ananth Madhavan (1996)
The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price EffectsReview of Financial Studies, 9
-
Robert Korajczyk, Ronnie Sadka (2003)
Are Momentum Profits Robust to Trading Costs?Capital Markets: Market Microstructure
-
Anna Obizhaeva (2012)
Liquidity Estimates and Selection BiasERN: Pricing (Topic)
-
Wang Yan (2004)
Measuring the Information Content of Stock Trades -
Jenni Bettman, Stephen Sault, Anna Reibnitz (2010)
The impact of liquidity and transaction costs on the 52-week high momentum strategy in AustraliaAustralian Journal of Management, 35
-
Mark Coppejans, Ananth Madhavan (2007)
The Value of Transaction Cost Forecasts: Another Source of Alpha -
Joel Hasbrouck (1991)
Measuring the Information Content of Stock TradesJournal of Finance, 46
-
Maxime Bonelli, Augustin Landier, G. Simon, D. Thesmar (2015)
The Capacity of Trading StrategiesEconometric Modeling: Capital Markets - Portfolio Theory eJournal
-
Robert Novy-Marx, Mihail Velikov (2014)
A Taxonomy of Anomalies and Their Trading CostsS&P Global Market Intelligence Research Paper Series
-
R. Grinold (2007)
Dynamic Portfolio Analysis, 34
-
Ronald Kahn, J. Shaffer (2005)
The Surprisingly Small Impact of Asset Growth on Expected Alpha, 32
-
Citi BECS 2.0. Product overview, Citi Equities, Best Execution Consulting Services -
Tom McArthur (2003)
Small is beautifulEnglish Today, 19
-
R. Almgren (2003)
Optimal execution with nonlinear impact functions and trading-enhanced riskApplied Mathematical Finance, 10
-
Geoff Warren, F. Foster (2011)
Why Might Investors Choose Active Management?Journal of Behavioral Finance, 16
-
L. Sneddon (2008)
The Tortoise and the Hare: Portfolio Dynamics for Active ManagersThe Journal of Investing, 17
-
R. Engle, R. Ferstenberg (2006)
Execution Risk, 33
-
(1993)
Assessing manager capacity -The case of New Zealand equities, White paper, NZ Super Fund -
A. Anand, A. Puckett, Paul Irvine, K. Venkataraman (2012)
Institutional Trading and Stock Resiliency: Evidence from the 2007-2009 Financial CrisisSMU Cox: Finance (Topic)
-
D. Gallagher, Timothy Gapes, G. Warren (2016)
In-House Investment Management: Making and Implementing the DecisionMutual Funds
-
Narasimhan Jegadeesh, S. Titman (1993)
Returns to Buying Winners and Selling Losers: Implications for Stock Market EfficiencyJournal of Finance, 48
-
S. Christoffersen, Donald Keim, David Musto (2006)
Valuable Information and Costly Liquidity: Evidence from Individual Mutual Fund TradesLSN: Canadian Law - Business (Topic)
-
Thomas Loeb (1991)
Is There a Gift from Small-Stock Investing?Financial Analysts Journal, 47
-
Donald Keim, Ananth Madhavan (1997)
Transactions costs and investment style: an inter-exchange analysis of institutional equity tradesJournal of Financial Economics, 46
-
Javier Vidal-García, Marta Vidal (2016)
Short-Term Performance and Mutual Fund SizeMutual Funds
-
Kyle Martin, D. Gallagher (2005)
Size and Investment Performance: A Research NoteCapital Markets: Market Efficiency
-
Tarun Chordia, A. Subrahmanyam, Qing Tong (2014)
Have Capital Market Anomalies Attenuated in the Recent Era of High Liquidity and Trading Activity?S&P Global Market Intelligence Research Paper Series
-
(2016)
2016), “Capacity Management: A key risk measure -
J. Gippel, Tom Smith, Yushu Zhu (2014)
Endogeneity in Accounting and Finance Research: Natural Experiments as a State‐of‐the‐Art SolutionManagerial Accounting eJournal
-
S. Berkowitz, D. Logue, Eugene Noser (1988)
The Total Cost of Transactions on the NYSEJournal of Finance, 43
-
A. Anand, A. Puckett (2009)
Performance of Institutional Trading Desks: An Analysis of Persistence in Trading Costs -
André Perold, Robert Salomon (1991)
The Right Amount of Assets Under ManagementFinancial Analysts Journal, 47
-
Analysis of institutional fund capacity: Implications for investment and execution. White paper, Investors Mutual Limited -
F. Lillo, J. Farmer, R. Mantegna (2003)
Econophysics: Master curve for price-impact functionNature, 421
-
M. Borkovec, Hans Heidle (2010)
Building and Evaluating a Transaction Cost Model: A PrimerThe Journal of Trading, 5
-
B. Collins, F. Fabozzi (1991)
A Methodology for Measuring Transaction CostsFinancial Analysts Journal, 47
-
Garleanu Nicolae, L. Pedersen (2009)
Dynamic Trading with Predictable Returns and Transaction CostsCapital Markets: Asset Pricing & Valuation
-
Mark Grinblatt, S. Titman (1989)
Mutual Fund Performance: An Analysis of Quarterly Portfolio HoldingsThe Journal of Business, 62
-
V. Serbin, Peter Bull, Howard Zhu (2009)
The Capacity of Liquidity-Demanding Equity StrategiesThe Journal of Portfolio Management, 36
-
(2013)
Optimal trading strategy and supply/demand dynamics -
Donald Keim, Ananth Madhavan (1995)
Empirical evidence on the behavior of institutional traders -
(2013)
Keep your eyes on the size: fund manager capacity and why it matters -
William Sackley (1998)
Transactions Costs and Investment Style: An Inter-Exchange Analysis of Institutional Equity TradesCfa Digest, 28
-
2015 capacity update -
(2016)
Transaction cost model, White paper, Northfield -
K. Sivaramakrishnan, V. Jeet, D. Vandenbussche (2015)
Multi-period portfolio optimization with alpha decay -
E. Elton, M. Gruber, Christopher Blake (2012)
Does Mutual Fund Size Matter? The Relationship Between Size and PerformanceThe Review of Asset Pricing Studies, 2
-
(1988)
The implementation shortfall: paper versus reality -
Under the spotlight: How much does it cost to trade equities? White paper -
M. J. Barclay, J. B. Warner (1993)
Stealth trading and volatility: which trades move prices?, 34
-
ITG ACE Ò -Agency cost estimator: a model description -
R. Almgren, C. Thum, E. Hauptmann, Hong Li (2005)
Direct Estimation of Equity Market Impact -
Y. Amihud, H. Mendelson (2013)
Global Asset Management -
Xuemin Yan (2008)
Liquidity, Investment Style, and the Relation between Fund Size and Fund PerformanceJournal of Financial and Quantitative Analysis, 43
-
D. Leinweber (1995)
Using Information from Tradinig in Trading and Portfolio Management, 4
-
Roger Edelen, R. Evans, Gregory Kadlec (2013)
Shedding Light on “Invisible” Costs: Trading Costs and Mutual Fund PerformanceFinancial Analysts Journal, 69
-
Joseph Chen, Harrison Hong, Ming-hsiang Huang, Jeffrey Kubik (2003)
Does Fund Size Erode Mutual Fund Performance ? -
Joni Kokkonen, Matti Suominen (2012)
Hedge Funds and Stock Market EfficiencyEconometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal
-
M. Borkovec, Ian Domowitz, B. Kiernan, V. Serbin (2010)
Portfolio Optimization and the Cost of TradingThe Journal of Investing, 19
-
Daniel Indro, Christine Jiang, Michael Hu, Wayne Lee (1999)
Mutual Fund Performance: Does Fund Size Matter?Financial Analysts Journal, 55
-
M. Cremers, Antti Petajisto (2009)
How Active is Your Fund Manager? A New Measure That Predicts PerformanceS&P Global Market Intelligence Research Paper Series
-
W. Breen, L. Hodrick, Robert Korajczyk (2000)
Predicting Equity LiquidityCapital Markets: Market Microstructure eJournal
-
Peter Knez, M. Ready (1996)
Estimating the Profits from Trading StrategiesReview of Financial Studies, 9
-
R. Clarke, Harindra Silva, Steven Thorley (2001)
Portfolio Constraints and the Fundamental Law of Active ManagementFinancial Analysts Journal, 58
-
Andrea Frazzini, Ronen Israel, T. Moskowitz (2012)
Trading Costs of Asset Pricing AnomaliesEwing Marion Kauffman Foundation Research Paper Series
-
Daniel Bunčić, Jon Eggins, R. Hill (2015)
Measuring Fund Style, Performance and Activity: A New Style‐Profiling ApproachWiley-Blackwell: Accounting & Finance
-
Gur Huberman, Werner Stanzl (2000)
Optimal Liquidity TradingCapital Markets: Market Microstructure
-
R. Arnott, W. Wagner (1990)
The Measurement and Control of Trading CostsFinancial Analysts Journal, 46
-
R. Grinold (1989)
The fundamental law of active management, 15
-
K. Benson, R. Faff, Thomas Smith (2015)
Injecting liquidity into liquidity researchPacific-basin Finance Journal, 35
-
D. Bertsimas, A. Lo (1998)
Optimal control of execution costsJournal of Financial Markets, 1
-
J. Bouchaud, Y. Gefen, M. Potters, M. Wyart (2003)
Fluctuations and Response in Financial Markets: The Subtle Nature of 'Random' Price ChangesOrganizations & Markets eJournal
-
Joel Hasbrouck (2009)
Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily DataJournal of Finance, 64
-
Jack Treynor (1981)
What Does It Take to Win the Trading GameFinancial Analysts Journal, 37
-
Y. Amihud, H. Mendelson (2013)
Transaction Costs and Asset Management -
A. Fadeev (2006)
Optimal execution for portfolio transactions -
H. Chan, R. Faff, D. Gallagher, Adrian Looi (2008)
Fund Size, Transaction Costs and Performance: Size Matters!Australian Journal of Management, 34
-
Lutz Johanning, M. Becker, Arndt Völkle (2015)
Transaction Costs for German Institutional Investors: Empirical Evidence from Stock MarketsJournal of Applied Corporate Finance, 27
-
A. Frino, T. Oetomo, D. Gallagher (2006)
Further Analysis of the Liquidity and Information Components of Institutional Orders: Active Versus Passive FundsUNSW: Banking & Finance (Topic)
-
C. Jones, M. Lipson (1999)
Sixteenths: Direct Evidence on Institutional Execution CostsCapital Markets: Market Microstructure
-
Michael Foster (2008)
Liquidity, Investment Style, and the Relation between Fund Size and Fund Performance -
Ian Domowitz, Jack Glen, Ananth Madhavan (2001)
Liquidity, Volatility and Equity Trading Costs Across Countries and Over TimeInternational Finance, 4
-
Michael Barclay, Jerold Warner (1993)
Stealth trading and volatilityJournal of Financial Economics, 34
-
Joshua Pollet, Mungo Wilson (2008)
How Does Size Affect Mutual Fund BehaviorJournal of Finance, 63
-
J. Watson, James Delaney, M. Dempsey, J. Wickramanayake (2016)
Australian superannuation (pension) fund product ratings and performance: A guide for fund managersAustralian Journal of Management, 41
-
Australian shares -Large companies -
D. Leinweber (2002)
Using Information from Trading In Trading and Portfolio Management: Ten Years Later -
C. Chiyachantana, P. Jain, Christine Jiang, R. Wood (2004)
International Evidence on Institutional Trading Behavior and Price ImpactCapital Markets: Asset Pricing & Valuation
-
Morgan market impact model, Research paper -
Michael O'Neill, Z. Liu (2016)
Tail risk hedging for mutual funds using equity market state pricesAustralian Journal of Management, 41
-
(2008)
Boutique investment managers: adding a touch of spice, with a good
- Publisher
- Wiley
- Copyright
- "Accounting and Finance © 2019 AFAANZ"
- ISSN
- 0810-5391
- eISSN
- 1467-629X
- DOI
- 10.1111/acfi.12268
- Publisher site
- See Article on Publisher Site
Abstract
We examine the issues and methods involved in evaluating the size that an equity fund might attain before it becomes unable to create additional value for investors. We discuss how capacity is defined, identify ten drivers and outline methods for conducting capacity analysis. We detail models that predict capacity, assuming that a fund adjusts the manner in which it trades and constructs portfolios as funds under management grow. We also provide an overview of transaction cost modelling, which is integral to predicting capacity. This study is primarily intended as an aid for investment industry participants who wish to evaluate the capacity associated with a given investment signal.
Journal
Accounting & Finance – Wiley
Published: Apr 1, 2019
Keywords: ; ; ; ;