Capacity Analysis for Equity Funds
定义了股票型基金的有效容量，并提出了一个结合潜在驱动因素的综合分析框架，通过因子动量策略和实际基金案例说明如何评估策略容量。
This article discusses the definition and determinants of capacity and outlines a practical approach for analyzing the capacity of equity funds. It is argued that capacity analysis should focus on effective capacity, defined as the level of assets under management at which any additional investments would generate alpha below a minimum threshold at the margin, for the active component of a portfolio. The approach combines potential drivers into an integrated analysis and generates insight into the critical factors for the capacity of the strategy being analyzed. The approach is illustrated for a factor-based momentum strategy and an actual equity fund. <b>TOPICS:</b>Security analysis and valuation, analysis of individual factors/risk premia, equity portfolio management