%0 Journal Article %A Vitaly Serbin %A Peter M Bull %A Howard Zhu %T The Capacity of Liquidity-Demanding Equity Strategies %D 2009 %R 10.3905/JPM.2009.36.1.078 %J The Journal of Portfolio Management %P 78-89 %V 36 %N 1 %X 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 %U https://jpm.pm-research.com/content/iijpormgmt/36/1/78.full.pdf