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The Journal of Index Investing

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Article

Capacity of Smart Beta Strategies from a Transaction Cost Perspective

Ronald Ratcliffe, Paolo Miranda and Andrew Ang
The Journal of Index Investing Winter 2017, 8 (3) 39-50; DOI: https://doi.org/10.3905/jii.2017.8.3.039
Ronald Ratcliffe
is a managing director at BlackRock in San Francisco, CA. ronald.ratcliffe@blackrock.com
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Paolo Miranda
is an associate at BlackRock in San Francisco, CA. paolo.miranda@blackrock.com
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Andrew Ang
is a managing director at BlackRock in New York, NY. andrew.ang@blackrock.com
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Article Information

vol. 8 no. 3 39-50
DOI 
https://doi.org/10.3905/jii.2017.8.3.039

Published By 
Pageant Media Ltd
Print ISSN 
2154-7238
Online ISSN 
2374-135X
History 
  • Published online November 27, 2017.

Copyright & Usage 
© 2017 Pageant Media Ltd

Author Information

  1. Ronald Ratcliffe
    1. is a managing director at BlackRock in San Francisco, CA. (ronald.ratcliffe{at}blackrock.com)
  2. Paolo Miranda
    1. is an associate at BlackRock in San Francisco, CA. (paolo.miranda{at}blackrock.com)
  3. Andrew Ang
    1. is a managing director at BlackRock in New York, NY. (andrew.ang{at}blackrock.com)
  1. To order reprints of this article, please contact David Rowe at drowe{at}iijournals.com or 212-224-3045.
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The Journal of Index Investing: 8 (3)
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Vol. 8, Issue 3
Winter 2017
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Capacity of Smart Beta Strategies from a Transaction Cost Perspective
Ronald Ratcliffe, Paolo Miranda, Andrew Ang
The Journal of Index Investing Nov 2017, 8 (3) 39-50; DOI: 10.3905/jii.2017.8.3.039

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Capacity of Smart Beta Strategies from a Transaction Cost Perspective
Ronald Ratcliffe, Paolo Miranda, Andrew Ang
The Journal of Index Investing Nov 2017, 8 (3) 39-50; DOI: 10.3905/jii.2017.8.3.039
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  • Article
    • Abstract
    • TRANSACTION COST APPROACH TO CAPACITY
    • EMPIRICAL RESULTS
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
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Cited By...

  • The Capacity of Factor Index Strategies: Assessment and Control
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