Remeasuring Scale in Active Management

• 成果类型: Article; Early Access
• 署名作者: Huang, Shiyang; Lu, Xu; Song, Yang; Xiang, Hong
• 署名单位: University of Hong Kong; University of Washington Seattle; University of Washington; University of Washington Seattle; Hong Kong Polytechnic University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhag037
• 发表日期: 2026-05-19
• 关键词: g20; G23; mutual fund performance; FLOWS; size; persistence; liquidity; skill

摘要

We show that scale in active equity portfolios is understated by at least 65 because the majority of mutual funds have twin institutional vehicles (IVs) managed under the same strategies. Omitting these IVs can severely skew crucial estimates in asset management research: by including IV assets, diminishing returns to scale of active investments is significantly reduced, and dollar value added of active strategies is more substantial and persistent than previously suggested. We further show that IV assets meaningfully influence managers portfolio decisions. In addition, these measurement issues apply to common flow measures and extend to passive funds and bond funds.