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 ยท Mutual Funds, Pooled Funds, and Exchange-Traded Funds.

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Nonindex funds with the lowest Active Share petaiisto their benchmarks. A mutual fund combines active positions with a passive position in the benchmark index, which can make the active positions expensive. If you originally registered with a username please use that to sign in. Related articles in Web of Science Google Scholar.

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. 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.

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. Active Share predicts fund performance: Inefficiencies in the pricing of exchange-traded funds A Petajisto Financial Analysts Journal 73 1, Thank you for your interest in spreading the word on The Journal of Alternative Investments. G20 – General JEL: Abstract On the surface, hedge funds seem to have much higher fees than actively managed mutual funds.


Jussi Keppo and Antti Petajisto.

The Review of Financial Studies 22 9, Most users should sign in with their email address. Don’t already have an Oxford Academic account? Table of Contents Index by author.

What is the true cost of active management? Deal Pricing and Returns in Private Equity.

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 ;etajisto a realistic range of parameter estimates.

For Permissions, please email: 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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Antti Petajisto, Ph.D

Why do demand curves for stocks slope down? Citing articles via Web of Science My profile My library Metrics Alerts. Active and passive portfolio management mutual petajiisto hedge funds ETFs behavioral finance. If you have a subscription you may use the login form below to view the article.


Antti Petajisto – Google Scholar Citations

Their calibration 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. Their combined citations are counted only for the first article. This “Cited by” count includes citations to the following articles in Scholar.

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