@article {Ratcliffe39,
author = {Ratcliffe, Ronald and Miranda, Paolo and Ang, Andrew},
title = {Capacity of Smart Beta Strategies from a Transaction Cost Perspective},
volume = {8},
number = {3},
pages = {39--50},
year = {2017},
doi = {10.3905/jii.2017.8.3.039},
publisher = {Institutional Investor Journals Umbrella},
abstract = {Using a transaction cost model and an assumption for the smart beta premium observed in data, the authors estimate the capacity of a particular implementation of momentum, quality, value, size, minimum volatility, and a multifactor combination. For a given trading horizon, they can find the fund size at which the transaction costs from flows into these strategies negate the smart beta premium. For a one-day trading horizon, momentum is the strategy with the smallest assets under management (AUM) capacity of $65 billion, and size is the largest with an AUM capacity of $5 trillion. At five days, momentum and size capacity rise to $320 billion and over $10 trillion, respectively.},
issn = {2154-7238},
URL = {http://jii.iijournals.com/content/8/3/39},
eprint = {http://jii.iijournals.com/content/8/3/39.full.pdf},
journal = {The Journal of Index Investing}
}