Active Share and Mutual Fund Performance. Antti Petajisto Antti Petajisto is a researcher and portfolio manager at quantPORT, a systematic multi-strategy. A mutual fund combines active positions with a passive position in the benchmark index, which can make the Active Share and Mutual Fund Performance. The data file shows the Active Share of U.S. equity mutual funds, computed over the original factors in performance evaluation applications (see the paper for .
|Published (Last):||17 September 2018|
|PDF File Size:||18.93 Mb|
|ePub File Size:||18.37 Mb|
|Price:||Free* [*Free Regsitration Required]|
We 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. Articles 1—19 Show more. Since closet index funds charge considerably higher fees than true index funds but provide a substantially similar portfolio, they tend to be poor investment choices.
Click here for a detailed description of the data. Click here for data on Active Share of mutual funds. What is the true cost of active management?
Inefficiencies in the pricing of exchange-traded funds A Petajisto Financial Analysts Journal 73 1, Global return premiums on earnings quality, value, and size M Kozlov, An Petajisto.
Earnings quality, value, international, accruals. The data file shows the Active Share of U.
Academic Research // Active Share // University of Notre Dame
October published version working paper Journal of Financial and Quantitative Analysis, 44 5: We test how active management is related to fund characteristics such as size, expenses, and turnover in the cross-section, and we examine the evolution of active management over time. My profile My library Metrics Alerts. We show why and how to adjust the expense axtive for the level of Active Share and the cost of investing in the benchmark.
If you agree to the above, you may proceed to download the following files:.
An earlier and more comprehensive version, including results on endogeneously arising institutions and optimal institutional structure pdf file. Related video appearance on CNBC link.
Cross-sectional dispersion in stock returns positively predicts average benchmark-adjusted performance by stock pickers. In equilibrium the fee charged by active managers has to equal the before-fee alpha they earn; this endogenously determines the amount of active capital and the slopes of demand curves.
Journal of Alternative Investments, 17 2: Inefficiencies in the Pricing of Exchange-Traded Funds. Home Academic Research Data. A comparison of hedge funds and mutual funds J Keppo, A Petajisto.
July published version working paper. Portfolio management, Active Share, tracking error, closet indexing.
September joint with Jussi Keppo published version working paper. Verified email at sloan. Rund of Financial and Quantitative Analysis 44 5, Active trading strategies exploiting such inefficiencies produce substantial abnormal returns before transaction costs, providing further proof of short-term mean-reversion in ETF prices.
Petajisto / Data
Inefficiencies in the pricing of exchange-traded zctive A Petajisto. Because the global earnings quality portfolio has a negative correlation with a value portfolio, an investor wishing to invest in both exposures can achieve significant diversification benefits.
The prices of exchange-traded funds can deviate significantly from their net asset values, on average fluctuating within a band of about basis points, in spite of the arbitrage mechanism that allows authorized participants to create and redeem shares for the underlying portfolios.
Nevertheless, the average pricing band remains economically significant at about basis points, with even larger mispricings in some asset classes.
Fama and French introduced stock market factors to control for the size effect and the value effect. The premia have been growing over time, peaking inand declining since then.
However, I find that this scenario is highly unlikely: January published version working paper. November joint with Max Kozlov. Representative agent models are inconsistent with existing empirical evidence for steep demand curves for individual stocks. Closet indexing increases in volatile and bear markets and has become more popular after For index investors this creates a recurring cost: Funds suare are marketed as active vary substantially in the sharr to which their portfolio holdings actually differ from the holdings of passive index funds.