@article {Elnekave31, author = {Robi Elnekave}, title = {Portfolio Size}, volume = {11}, number = {4}, pages = {31--37}, year = {2002}, doi = {10.3905/joi.2002.319522}, publisher = {Institutional Investor Journals Umbrella}, abstract = {The number of holdings in a portfolio plays a significant role in capturing the excess return of an active management strategy. Portfolio size also has a considerable impact on variability of the outcomes{\textemdash}minimizing the tracking error between the portfolio and the strategy. Yet the number of positions held in a portfolio is seldom arrived at through deliberate study. The author analyzes the size question from three perspectives: as a statistical sampling problem, as the outcome of a fundamental law of investing, and as the result of iterative simulations. The results demonstrate the importance of actively selecting the number of holdings for a given strategy.}, issn = {1068-0896}, URL = {https://joi.pm-research.com/content/11/4/31}, eprint = {https://joi.pm-research.com/content/11/4/31.full.pdf}, journal = {The Journal of Investing} }