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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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. Title Petajsto by Year How active is your fund manager?
Petajisto / Research
We find that the rational anticipation of future index composition reflected in prices today eliminates any first-order differences in index fund performance across the three index rules. It describes the share of portfolio holdings that differ from the benchmark index.
Overall, our evidence suggests that explicit indexing improves competition in the mutual fund industry. Fama and French introduced stock market factors to control for the size effect and the value effect. Earnings quality, value, international, accruals. When evaluating the impact of Treasury bond supply on long-term rates, most market observers seem to have overlooked two atti issues: Active management also predicts fund performance: Email address for updates.
A comparison of hedge funds and mutual funds J Keppo, A Petajisto. Inefficiencies in the pricing of exchange-traded funds A Petajisto Financial Analysts Journal 73 1, Second, the implied price elasticity of demand increases with firm size and decreases with idiosyncratic risk, supporting theoretical predictions.
We compute Active Share for domestic equity mutual funds from to Cremers, Petajisto, and Zitzewitz build on the contribution of Fama and French by proposing similar but slightly revised versions of the factors. The data have been fully refreshed, adding 4 more years to the earlier sample. Why do demand curves for stocks slope down? The index-based models outperform the standard models in common applications such as performance evaluation of mutual fund managers.
Click here for a detailed description of the data.
Global return premiums on earnings quality, value, and size M Kozlov, A Petajisto. What is the true cost of active management?
July published version working paper. When Benchmark Indices Have Alpha: New articles related to this author’s research. These funds do not seem to take increased risk and their outperformance cannot be explained by fund size alone, though on average they are smaller funds.
Pperformance “Cited by” count includes citations to the following articles in Scholar. September joint with Martijn Cremers published version working paper. Among patient funds, separating closet index from high Active Share funds matters, as low Active Share funds on average underperform even with patient strategies. Click here for return data on index-based factors. Should benchmark indices have alpha?
November joint with Max Kozlov. October published version working paper Journal of Financial and Quantitative Analysis, 44 5: Active and passive portfolio management mutual funds hedge funds ETFs behavioral finance. Review of Financial Studies, 22 9: 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.