Download this Paper Open PDF in Browser

On Size Effects in Separate Accounts

40 Pages Posted: 18 Mar 2017 Last revised: 4 Aug 2017

Richard B. Evans

University of Virginia - Darden School of Business

Martin Rohleder

University of Augsburg

Hendrik Tentesch

University of Augsburg - Department of Finance and Banking

Marco Wilkens

University of Augsburg

Date Written: August 3, 2017

Abstract

We are the first to investigate specific size effects in separate accounts (SAs). This is important because SAs represent a major investment vehicle for institutional investors. More interestingly, they have an additional structural layer compared to mutual funds for which size effects have been intensively studied. This additional layer – separate, individualized accounts of single investors, which increase overall management complexity – significantly diminishes performance. These structural diseconomies economically outweigh the liquidity and market impact cost related negative effects known from mutual funds. However, comparing SAs and mutual funds, we find that SAs outperform mutual funds on average regardless of structural diseconomies of scale.

Keywords: Institutional investing, separate accounts, performance, diseconomies of scale, flows

JEL Classification: G11, G12

Suggested Citation

Evans, Richard B. and Rohleder, Martin and Tentesch, Hendrik and Wilkens, Marco, On Size Effects in Separate Accounts (August 3, 2017). Available at SSRN: https://ssrn.com/abstract=2933546

Richard Evans

University of Virginia - Darden School of Business ( email )

P.O. Box 6550
Charlottesville, VA 22906-6550
United States
434-924-4030 (Phone)
434-243-7680 (Fax)

HOME PAGE: http://faculty.darden.virginia.edu/evansr/

Martin Rohleder (Contact Author)

University of Augsburg ( email )

Universitaetsstr. 16
Augsburg, 86159
Germany
+49 821 598 4120 (Phone)

Hendrik Tentesch

University of Augsburg - Department of Finance and Banking ( email )

Universitaetsstr. 2
Augsburg, 86135
Germany

Marco Wilkens

University of Augsburg ( email )

Universitaetsstr. 16
Augsburg, 86159
Germany
+49 821 598 4124 (Phone)
+49 821 598 4223 (Fax)

HOME PAGE: http://www.wiwi.uni-augsburg.de/bwl/wilkens/team/wilkens_marco/

Paper statistics

Downloads
118
Rank
202,575
Abstract Views
648