Capacity Analysis for Equity Funds

PurposeWe model the relation between excess returns, fund size and industry size for active equity funds.Design/methodology/approachWe study and contrast four markets – global equities, emerging markets, Australia core and Australia small caps – and use the results to investigate the extent to which funds deviate from estimated capacity.FindingsWe uncover a significantly negative relation between returns and both fund size and industry size across all markets. The estimated percentage of funds operating above versus below capacity varies both across markets and over time, as does the role played by fund size versus industry size. We find a greater prevalence of funds operating significantly below than above capacity, in contrast to findings for US equity mutual funds. Significant deviations from estimated capacity persist for a median of between two and six quarters.Originality/valueOur main contribution is to show that the dynamics governing deviations from capacity for active equity funds vary across markets.

show abstract

Exploiting the Dynamics of Commodity Futures Curves

Bianchi

Fan

Miffre

et al. 2020

SSRN Journal

View full text Add to dashboard Cite

scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.

Contact Info

customersupport@researchsolutions.com

10624 S. Eastern Ave., Ste. A-614

Henderson, NV 89052, USA

This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.

Blog Terms and Conditions API Terms Privacy Policy Contact Cookie Preferences Do Not Sell or Share My Personal Information

Made with 💙 for researchers

Part of the Research Solutions Family.

Capacity Analysis for Equity Funds

Cited by 7 publications

References 28 publications

Exploiting the dynamics of commodity futures curves

Exploiting the dynamics of commodity futures curves

Scale diseconomies and capacity in fund management: variation across equity markets

Exploiting the Dynamics of Commodity Futures Curves

Contact Info

Product

Resources

About