TY - JOUR T1 - The Capacity of Liquidity-Demanding Equity Strategies JF - The Journal of Portfolio Management SP - 78 LP - 89 DO - 10.3905/JPM.2009.36.1.078 VL - 36 IS - 1 AU - Vitaly Serbin AU - Peter M Bull AU - Howard Zhu Y1 - 2009/10/31 UR - https://pm-research.com/content/36/1/78.abstract N2 - 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 ER -