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 .
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The same long-term performance patterns held up over the financial crisis, and they also hold within market cap styles. September joint with Jussi Keppo published version working paper.
March published version working paper. 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. November joint with Max Kozlov. Representative agent models are inconsistent with existing empirical evidence for steep demand curves for individual stocks.
Funds trading frequently generally underperform, including those with high Muual Share.
A purportedly active fund with a portfolio that substantially overlaps with the market is known as a closet index fund. Here are the rules for using the data: Management fee, incentive fee, hedge fund, mutual fund.
Overall, our evidence suggests that explicit indexing improves competition in the mutual fund industry. Click here for a detailed description of the data.
Global return premiums on perforkance quality, value, and size M Kozlov, A Petajisto. Journal of Empirical Finance, 18 2: Finally, we show that our findings are quite robust with respect to a jump risk in the hedge fund returns.
Antti Petajisto – Google Scholar Citations
Active Share predicts fund performance: Closet indexing increases in volatile and bear markets and has become more popular after Journal of Financial Marketsrevise and resubmit.
In contrast, closet indexers or funds focusing on factor bets have lost to their benchmarks after fees. What is the true cost of active management? We conclude by discussing potential adjustments to mutual fund disclosures that could help investors identify closet index funds.
As the index investors become a large part of the market, the non-index investors become less shafe, and this induces hedging motives which hurt the index investors especially under a market-cap rule.
The Review of Financial Studies 22 9, However, I find that this scenario is highly unlikely: 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.
To control for stale pricing of the underlying assets, I introduce a novel approach using the cross-section of prices on a group of similar ETFs. This “Cited by” count includes citations to the following articles in Scholar.
Financial Analysts Journal, 73 1: Active trading strategies exploiting such inefficiencies produce substantial abnormal returns before transaction costs, providing further proof of short-term mean-reversion in ETF prices. Active Share, tracking error, closet indexing. October published ative working paper. You should think of the above data files as mostly an extension of the data used by Cremers and Petajistoadding another six years and containing a few methodological tweaks.
Petajisto / Research
Cremers, Petajisto, and Zitzewitz build on the contribution of Fama and French by proposing similar but slightly revised versions of the factors. Articles 1—19 Show more.
July joint with Martijn Cremers and Eric Zitzewitz. Home Academic Research Data.