Open Access

Hendrik Tentesch

• This dissertation aims to improve the general understanding of separate accounts (SAs) and thus to benefit research, regulation and various market participants. The first topic addressed in this dissertation is the topic of diseconomies of scale, the diminishing effect of size on the risk-adjusted performance. Chapter II shows that in SAs two dimensions of size − size in terms of total assets and in terms of number of accounts − diminish risk-adjusted performance respectively. Although the second effect prevails, both effects exist simultaneously side by side, so that the risk-adjusted performance of large SAs with many accounts suffer the most. Chapter III examines differences in the diseconomies of scale of quantitative and fundamental investment strategies. Basic differences in the underlying nature of both investment styles suggest potential differences in both channels for diseconomies of scale, the liquidity costs channel and the information processing/hierarchy costs channel.This dissertation aims to improve the general understanding of separate accounts (SAs) and thus to benefit research, regulation and various market participants. The first topic addressed in this dissertation is the topic of diseconomies of scale, the diminishing effect of size on the risk-adjusted performance. Chapter II shows that in SAs two dimensions of size − size in terms of total assets and in terms of number of accounts − diminish risk-adjusted performance respectively. Although the second effect prevails, both effects exist simultaneously side by side, so that the risk-adjusted performance of large SAs with many accounts suffer the most. Chapter III examines differences in the diseconomies of scale of quantitative and fundamental investment strategies. Basic differences in the underlying nature of both investment styles suggest potential differences in both channels for diseconomies of scale, the liquidity costs channel and the information processing/hierarchy costs channel. Chapters IV and V examine the risk-adjusted performance of SAs and mutual funds (MFs). Chapter IV uses a comprehensive sample of side-by-side managed SA-MF twins to quantify the effect of unobserved investment constraints on the risk-adjusted performance. Chapter V contains a comprehensive SA performance analysis and distinguishes between luck and skill. The last Chapter VI sums up the results and highlights the key contribution of each Chapter. Furthermore, it gives an understanding of how future research might build upon insights provided in this dissertation.…