| A fund manager’s capacity is one of the key drivers of their ability to generate alpha—and asset owners should take control of it, according to a new paper by the New Zealand Superannuation Fund (NZ Super). The white paper, “Assessing Manager Capacity—The Case of New Zealand Equities”, written by Head of Asset Allocation David Iverson and Investment Manager Paul Gregory, laid out the NZ$25.9 billion ($18.8 billion) fund’s approach to smaller, illiquid markets.
The paper advocated asset owners taking control of capacity discussions through simulated backtests. NZ Super’s internal team runs tests based on managers’ historical monthly positioning, simulating how a fund’s trading costs and returns would have been affected as the fund’s size changed...............................................Full Article: Source
|