The delivered value of an investment process relies on two parts: the theoretical value of the alpha skill (the gross paper prot) and the cost of implementation (the unrealized paper prot). e larger the former and the smaller the latter, the happier is the investor. Clearly, the total assets under management inuence the latter. A strategy might be protable with small assets under management and unprotable with larger assets under management; as assets grow, transaction costs grow. Recently, Kahn and Shaer (2005) pointed out that one remedy to the “size” problem is to reduce portfolio turnover. is is a sensible suggestion. However, their work is based on a hypothetical relationship between turnover and expected alpha that might be too general to be applicable.