This paper generalizes the concept of capacity from the portfolio level to the investment process for systematic equity strategies. Capacity is often understood as the maximum asset under management, above which additional inflows would have too great a negative impact on performance. The concept of capacity is often limited to the study of a given portfolio. However, setting up a capacity management framework must consider what the portfolio might look like in the future. This is obviously complicated for discretionary portfolios but theoretically conceivable for portfolios implementing systematic strategies, if we can simulate all possible scenarios. In our framework, we extend the traditional definition of capacity from a number to a random variable, allowing portfolio managers to integrate it into their risk considerations. We provide examples of how portfolio managers can approach this problem, with full-search or modelling methods. Our framework includes several capacity metrics that can be used jointly or selected to align better with the features of each strategy.

本文将能力的概念从投资组合层面推广到系统股权策略的投资过程。容量通常被理解为所管理的最大资产，超过该资产的额外流入将对绩效产生太大的负面影响。能力的概念通常仅限于对给定投资组合的研究。然而，建立容量管理框架必须考虑未来的产品组合可能是什么样子。对于全权委托投资组合来说，这显然很复杂，但如果我们能够模拟所有可能的情况，那么对于实施系统策略的投资组合来说，理论上是可以想象的。在我们的框架中，我们将容量的传统定义从数字扩展到随机变量，允许投资组合经理将其整合到他们的风险考虑中。我们提供了投资组合经理如何通过全面搜索或建模方法解决此问题的示例。我们的框架包括多个容量指标，可以联合使用或选择这些指标以更好地与每个策略的特征保持一致。