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 .

Author: Mikinos Mucage
Country: Italy
Language: English (Spanish)
Genre: Travel
Published (Last): 11 July 2004
Pages: 114
PDF File Size: 14.77 Mb
ePub File Size: 9.4 Mb
ISBN: 334-4-89545-895-3
Downloads: 36595
Price: Free* [*Free Regsitration Required]
Uploader: Kek

Their combined citations are perfkrmance only for the first article. We conclude that Active Share matters for fund performance: It describes the share of portfolio holdings that differ from the benchmark index.

The time period is 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.

Should benchmark indices have alpha? Cremers, Petajisto, and Zitzewitz build on the contribution of Fama and French by proposing similar but slightly revised versions of the factors.

New articles related to this author’s research. Who Has Been Buying U. An earlier and more comprehensive version, including results on endogeneously arising institutions actiive optimal institutional structure pdf file.

However, I find that this scenario is highly unlikely: Active Share predicts fund performance: Management fee, incentive fee, hedge fund, mutual fund. This “Cited by” count includes citations to the following articles in Scholar. Home Academic Research Data. Overall, our evidence suggests that explicit indexing improves competition in the mutual fund industry. We find that actively managed funds are more active and charge lower fees when they face more competitive pressure from low-cost explicitly indexed funds.


This result holds both in the overall sample as well as in the more recent sshare period since Active trading strategies exploiting such inefficiencies produce substantial abnormal returns before transaction costs, providing further proof of short-term mean-reversion in Antto prices.

Academic Research

Inefficiencies in the pricing of exchange-traded funds A Petajisto. Among activ funds, separating closet index from high Active Share funds matters, as low Active Share funds on average underperform even with patient strategies. Inefficiencies in the pricing of exchange-traded funds A Petajisto Financial Analysts Journal 73 1, A quasi-natural experiment using the exogenous variation in indexed funds generated by the passage of pension laws supports a causal performancw of the results.

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. Click here for data on Active Share of mutual funds.

Petajisto / Research

We explore alternative funv to construct these factors and propose alternative models constructed from common and easily tradable benchmark indices. We conclude by discussing potential adjustments to mutual fund disclosures that could help investors identify closet index funds.


To quantify active portfolio management, we introduce a new measure we label Active Share. The system can’t perform the operation now. My profile My library Metrics Alerts.

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 ahd participants to create and redeem shares for the underlying portfolios. September joint with Martijn Cremers published version working paper.

Related research report that focuses on market-on-close transactions in ETFs pdf file. Financial Analysts Journal, 69 4: The index premium and its hidden cost for index funds A Petajisto Journal of Empirical Finance 18 2, A hedge fund takes both long and short positions and uses leverage, which makes the active positions mutuao, but this can be offset by the expected incentive fees, especially for more volatile funds.

Petajisto / Data

Active and passive portfolio management mutual funds hedge funds ETFs behavioral finance. July joint with Martijn Cremers and Eric Zitzewitz. Selection of an optimal index rule for an index fund A Petajisto.