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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Articles 1—19 Show more. Cross-sectional dispersion in stock returns positively predicts average benchmark-adjusted performance by stock pickers.
July published version working paper. This paper resolves the puzzle by proposing that stock prices are instead set by two separate classes of investors.
When Benchmark Indices Have Alpha: Inefficiencies in the pricing of exchange-traded funds A Petajisto Financial Analysts Journal 73 1, Cremers, Petajisto, and Zitzewitz build on the contribution of Fama and French by proposing similar but slightly revised versions of the factors.
Performane articles related to this author’s research.
The same long-term performance patterns held up over the financial crisis, and they also hold within market cap styles. The benchmark index is the official benchmark index disclosed in the prospectus.
Closet Indexing,” Peetajisto 15, pdf file. This result holds both in the overall sample as well as in the more recent time period since Related video appearance on CNBC link. Moreover, the average alpha generated by active management is higher in countries with more explicit indexing and lower in countries with more closet indexing.
My profile My library Metrics Alerts. The index-based models outperform the standard models in common applications such as performance evaluation of mutual fund managers.
Boucher, Christopher, and Bertrand Maillet: 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. Who Has Been Buying U. Closet indexing increases in volatile and bear markets and has become more popular after Here are the rules for using the data:. Home Academic Research Data. We compute Active Share for domestic equity mutual funds from to Financial Analysts Journal, 73 1: New articles by this author.
The time period is The system can’t perform the operation now. We find that a simple strategy that is long stocks with high earnings quality and short stocks with low earnings quality produces a higher Sharpe ratio than the overall market or similar strategies betting on value or small stocks.
I sort domestic all-equity mutual funds into different categories of active management using Active Share and tracking error. New citations to this author.
It describes the share of portfolio holdings that differ from the benchmark index. A comparison of hedge funds and mutual funds J Keppo, A Petajisto. Active Share, tracking error, closet indexing. September joint with Jussi Keppo published version working paper. Portfolio management, Active Share, tracking error, closet indexing. Should Benchmark Indices Have Alpha? Earnings quality, value, international, accruals. We conclude by discussing potential adjustments to mutual fund disclosures that could help investors identify closet index funds.
Journal of Financial and Quantitative Analysis, 44 5: Finally, we show that our findings are quite robust with respect to a jump risk in the hedge fund returns.
We show why and how to adjust the expense ratio for the level of Active Share and the cost of investing in the benchmark. October published version working paper Journal of Financial and Quantitative Analysis, 44 5: Benchmarking, factor models, portfolio management. Employing proprietary IPD data for U. Management fee, incentive fee, hedge fund, mutual fund.
Petajisto / Data
Journal of Financial Marketsrevise and resubmit. When evaluating the impact of Treasury bond supply on long-term rates, most market observers seem to have overlooked two key issues: Different index rules can produce different index premia due to the different frequency and criteria of updating. Review of Financial Studies, 22 9: If you agree to the above, you may proceed to download the following files: