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.
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Table of Contents Index by author. Tweet Widget Facebook Like. The Review of Financial Studies 22 9, If you have a subscription you may use the login form below to view the article.
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A mutual fund combines active positions with a passive position in the benchmark index, which can make the active positions expensive. This article requires a subscription to view the full text.
G20 – General JEL: The anfti can’t perform the operation now. Inefficiencies in the pricing of exchange-traded funds A Petajisto Financial Analysts Journal 73 1, Selection of an optimal index rule for an index fund A Petajisto.
My profile My library Metrics Alerts. 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, examining the impact of leverage, volatility, Active Share, nominal fees, and alpha for a realistic range of parameter estimates.
Don’t have an account? When Benchmark Indices Have Alpha: 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.
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Skip to main content. Email perajisto New issue alert. The following articles are merged in Scholar. Active Share predicts fund performance: Citing articles via Web of Science 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.
To purchase short term access, please sign in to your Oxford Academic account above. For Permissions, please email: Their oetajisto shows that a moderately skilled active manager is approximately equally attractive to investors as a mutual fund manager or a hedge fund manager is, showing that both investment vehicles can coexist as efficient alternatives to investors. Further, their model explains documented empirical findings on career development of petajsto fund managers and on risk- taking in hedge funds.
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How active is your fund manager? However, the true cost of active management should be measured relative to the size of the active positions taken by a fund manager.
Antti Petajisto, Ph.D
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. New articles by this author. Abstract On the surface, hedge funds seem to have much higher fees than actively managed mutual funds.
Articles 1—19 Show more. Deal Pricing and Returns in Private Equity. G10 – General JEL: The Elusive Benefits of Petaajisto Puts. Should benchmark indices have alpha? Related articles in Web of Science Google Scholar.
Antti Petajisto – Google Scholar Citations
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