On Size Effects in Separate Accounts

46 Pages Posted: 18 Mar 2017  

Martin Rohleder

University of Augsburg

Hendrik Tentesch

University of Augsburg - Department of Finance and Banking

Marco Wilkens

University of Augsburg

Date Written: March 15, 2017

Abstract

We are the first to investigate specific size effects in separate accounts (SAs). This is important because SAs are a major investment vehicle for institutional investors and have a distinctive organizational structure compared to mutual funds. Thus, we contribute new insights into this economically important investment segment and into size effects in portfolio management in general. The main source of diseconomies of scale in SAs is an additional structural layer, i.e. separate, individualized accounts of single investors, which increases overall management complexity. To compensate for a high number of accounts, managers dramatically reduce the number of holdings. This reduction of portfolio complexity significantly hurts performance.

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

JEL Classification: G11, G12

Suggested Citation

Rohleder, Martin and Tentesch, Hendrik and Wilkens, Marco, On Size Effects in Separate Accounts (March 15, 2017). Available at SSRN: https://ssrn.com/abstract=2933546

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/

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