Capacity constraints limit the profits of some investment strategies, while other strategies are more scalable. We develop a dollar-weighted return measure that parses the factor timing by investors and a strategy's capacity constraints. We find that actively managed funds exhibit significant...

A common risk that plan sponsors face is incorrectly terminating an effective strategy. Even funds that outperform over the long term can experience subperiods of short-term underperformance. This paper uses a sample of 525 institutional large-cap equity strategies to analyze the likelihood of...