Antti Petajisto of Yale University, CT (YU) with expertise in: Econometrics, Financial Economics and Statistics. Read 13 publications, and contact Antti Petajisto. ANTTI PETAJISTO. Leonard N. Stern School of Business. New York University. 44 West 4th Street, Suite New York, NY Antti Petajisto is portfolio manager at LMR Partners, London. Related Topics. Portfolio Management · Mutual Funds, Pooled Funds, and Exchange-Traded Funds.

Author: Gazil Sharamar
Country: Guinea-Bissau
Language: English (Spanish)
Genre: Personal Growth
Published (Last): 16 December 2012
Pages: 127
PDF File Size: 19.70 Mb
ePub File Size: 14.21 Mb
ISBN: 861-5-74926-786-9
Downloads: 36694
Price: Free* [*Free Regsitration Required]
Uploader: Kemuro

Abstract We introduce a new measure of active portfolio management, Active Share, which represents the share of portfolio holdings that differ from the benchmark index holdings. Table of Contents Index by author. The Journal of Alternative Investments Vol. In this article, the authors investigate the trade-offs from the perspective of a fund investor choosing between a mutual fund and a hedge fund, petaijsto the impact of leverage, volatility, Active Share, anttj fees, and alpha for a realistic range of parameter estimates.

Antti Petajisto, Ph.D

Inefficiencies in the pricing of exchange-traded funds A Petajisto Financial Analysts Journal 73 1, Measuring Tail Risks at High Frequency. Shock Propagation and Banking Structure. To purchase short term access, please sign in to your Oxford Academic account above. Most users should sign in with their email address. Why do demand curves for stocks slope down? Their combined citations are counted only for the first article.


When Benchmark Indices Have Alpha: Articles 1—19 Show more. How active is your fund manager? For Permissions, please email: The Elusive Benefits of Protective Puts.

New citations to this author. Deal Pricing and Returns in Private Equity. Nonindex funds with the lowest Active Share underperform their benchmarks. No citing articles found.

Antti Petajisto – Google Scholar Citations

New articles related to this author’s research. Sign in via your Institution Sign letajisto. We compute Active Share for domestic equity mutual funds from to However, the true cost of active management should be measured relative to the size of the active positions taken by a fund manager.

Don’t have an account? Citing articles via Web of Science Further, their model explains documented empirical findings on career development of successful fund managers and on risk- taking in hedge funds. Consumption Taxes and Corporate Investment.

We relate Active Share to fund characteristics such as size, expenses, and turnover in the cross-section, and we also examine its evolution over time. What is the true cost of active management?

Inefficiencies in the pricing of exchange-traded funds A Petajisto. A hedge fund takes both long and short positions and uses leverage, which makes the active positions cheaper, but this can be offset by the expected incentive fees, especially for more volatile funds. G10 – General JEL: A mutual fund combines active positions with a passive position in the benchmark index, which can make the active positions expensive.


Skip to main content. Email address for updates. If you have a subscription you may use the login form below to view the article. Selection of an optimal index rule for an index fund A Petajisto. You could not be signed in.

Sign In Forgot password? Thank you for your interest in spreading the word on The Journal of Alternative Investments.

Antti Petajisto – Google 学术搜索引用

This article is also available for rental through DeepDyve. The Review of Financial Studies 22 9, Active Share predicts fund performance: Oxford University Press is a department of the University of Oxford.

The index premium and its hidden cost for index funds A Petajisto Journal of Empirical Finance 18 2, Jussi Keppo and Antti Petajisto. This “Cited by” count includes citations to angti following articles in Scholar. Abstract On the surface, hedge funds seem to have much higher fees than actively managed mutual funds. Email alerts New issue alert.