What is the largest AUM at which your factor still pays for itself?
Drop a daily P&L CSV. The tool estimates your capacity curve, forecasts forward Sharpe, computes a drawdown profile, runs a what-if AUM calculator and a cost-sensitivity heatmap, finds the rebalance rule that maximises net IR after costs, and benchmarks you against four reference factors run on the same machinery.
A live look at the same machinery on four reference factors.
Synthetic NIFTY-100-like panel, 5 years, 100 names. Capacity curves on one axis, headline numbers below. Click any row through to the full reference run for the cost decomposition, composite crowding score and ML forecast.
| factor | gross IR | safe AUM | crowding | policy |
|---|---|---|---|---|
| ● momentum | +1.10 | — | 57 amber | Q / 0bps |
| ● value | +1.04 | 2.5 cr | 38 green | M / 0bps |
| ● quality | +0.70 | 2.5 cr | 44 green | Q / 0bps |
| ● low_vol | +0.09 | — | 48 green | Q / 0bps |
Two compounding mechanisms degrade factor returns at scale.
Every factor strategy — momentum, value, quality, low-volatility — earns positive expected returns at small AUM and earns less at larger AUM. The usual story is "alpha decays as size grows." That story is incomplete. Two distinct mechanisms compound on each other:
Trading-cost drag. Costs scale super-linearly with size. Spread is roughly constant per unit of trade, but market impact grows like (Almgren–Chriss) and faster than that for large notionals. At some AUM the marginal alpha is fully consumed by impact.
Crowding. Other managers run the same signal. As capital piles in, the long basket bids up and the short basket gets squeezed. Realised alpha decays before trading costs even fire. Drawdowns become correlated across funds and unwinds become reflexive.
The PM-level question is not "what is my Sharpe at infinite AUM" — it is:given my AUM today, my factors' current crowding, and my real cost stack, what is my hard cap and what is my safe rebalancing rule?
From CSV to memo in under a minute.
- 1Drop your CSV
Two columns: date and either daily return, P&L %, NAV, or equity. Auto-detected.
- 2Confirm cost parameters
Spread, impact coefficient, commission, borrow, turnover, ADV bucket, India tax stack on/off. Defaults match an NSE mid-cap L/S sleeve.
- 3Read the answers
Capacity curve, cost decomposition, drawdown profile, rolling Sharpe + 6-month forecast, what-if AUM calculator, sensitivity heatmap, optimal policy.
- 4Export
Download the memo.md and curve.csv. Share with risk, ops, or the IC.
The capacity curve in one equation.
where is the annualised round-trip cost at AUM, summed across spread, Almgren–Chriss impact, commission, short-leg borrow and (optionally) the NSE tax stack. A separate ridge regression learns to predict from market state without re-running the curve. See the full methodology for the stress regime, multi-factor allocation, and the OU forecast.