ANTTI PETAJISTO PDF

December 13, 2020   |   by admin

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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The Journal of Alternative Investments Vol. No citing articles found. New articles related to this author’s research. 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.

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.

Receive exclusive offers and updates from Oxford Academic. Further, their model explains documented empirical findings on career development of successful fund managers and on risk- taking in hedge funds.

This article is also available for rental through DeepDyve. Inefficiencies in the pricing of petajixto funds A Petajisto Financial Analysts Journal 73 1, Related articles in Web of Science Google Scholar.

Abstract On the surface, hedge funds seem to have much higher fees than actively managed mutual funds. If you originally registered with a username please use that to sign in. My profile My library Metrics Alerts. Close mobile search navigation Article navigation.

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This article requires a subscription to view the full text. The following articles are merged in Scholar. The Elusive Benefits of Protective Puts. Access to this article can also be purchased.

The system can’t perform the operation now. What is the true cost of active management? Articles 1—19 Show more. When Benchmark Indices Have Alpha: Measuring Tail Risks at High Frequency. We relate Active Share to fund characteristics such as size, expenses, and oetajisto in the cross-section, and we also examine its evolution over time.

Antti Petajisto, Ph.D

Table of Contents Index by author. G10 – General JEL: Should benchmark indices have alpha? How active is your fund manager?

On the surface, hedge funds seem to have much higher fees than actively managed mutual funds. New citations to this atnti. Jussi Keppo and Antti Petajisto.

Sign In or Create an Account. A hedge fund takes both long and short positions and amtti leverage, which makes the active positions cheaper, but this can be offset by the expected incentive fees, especially for more volatile funds. Don’t have an account? However, the true cost of active management should be measured relative to the size of the active positions taken by a fund manager.

Nonindex funds with the lowest Active Share underperform their benchmarks. If you have a subscription you may use the login form below to view the article.

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New articles by this author. In this article, the authors investigate the anti 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. Purchase Subscription prices and ordering Short-term Access To purchase short term access, please sign in to your Oxford Academic account above.

Most users should sign in with their email address. Jussi KeppoAntti Petajisto. Forgot your user name or password?

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Shock Propagation and Banking Structure. We do not capture any email address. Sign In Forgot password? A comparison of hedge funds and mutual funds J Keppo, A Petajisto.

Selection of an optimal index rule for an index fund A Petajisto. Title Cited by Year How active is your fund manager? Don’t already have an Oxford Academic account? We compute Active Share for domestic equity mutual funds from to To purchase short term access, please sign in to your Oxford Academic account above. Email alerts New issue alert. The Review of Financial Studies 22 9,