TY - JOUR T1 - Portfolio Size JF - The Journal of Investing SP - 31 LP - 37 DO - 10.3905/joi.2002.319522 VL - 11 IS - 4 AU - Robi Elnekave Y1 - 2002/11/30 UR - https://pm-research.com/content/11/4/31.abstract N2 - 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—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. ER -