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...

This article examines a theoretically-motivated measure of the "size effect" known as Market Diversity and links it to the relative returns of institutional actively managed portfolios. Market Diversity reflects how disperse or concentrated capital is across firms in the market, with changes in...

This paper decomposes portfolio returns into the underlying sources arising from the constituent stocks' growth rates, as well as their variances and covariances. We employ this method to show that the difference between large and small stock portfolio returns is driven by a portfolio “excess...