RT Journal Article SR Electronic T1 The Capacity of Liquidity-Demanding Equity Strategies JF The Journal of Portfolio Management FD Institutional Investor Journals SP 78 OP 89 DO 10.3905/JPM.2009.36.1.078 VO 36 IS 1 A1 Vitaly Serbin A1 Peter M Bull A1 Howard Zhu YR 2009 UL https://pm-research.com/content/36/1/78.abstract 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