Antti Petajisto of Yale University, CT (YU) with expertise in: Econometrics, Financial Economics and Statistics. Read 13 publications, and contact Antti Petajisto. ANTTI PETAJISTO. Leonard N. Stern School of Business. New York University. 44 West 4th Street, Suite New York, NY Antti Petajisto is portfolio manager at LMR Partners, London. Related Topics. Portfolio Management · Mutual Funds, Pooled Funds, and Exchange-Traded Funds.

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A comparison of hedge funds and mutual funds J Keppo, A Petajisto. Close mobile search navigation Article navigation.

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Table of Contents Index by author. What is the true cost of active management? Don’t have an account?

Thank you for your interest in spreading the word on The Journal of Alternative Investments. Articles 1—19 Show more. Verified email at sloan. Shock Propagation and Banking Structure.

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When Benchmark Indices Have Alpha: This article requires a subscription to view the full text. Active Share predicts fund performance: Should benchmark indices have alpha?

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We relate Active Petsjisto to fund characteristics such as size, expenses, and turnover in the cross-section, and we also examine its evolution over time. Abstract On the surface, hedge funds seem to have much higher fees than actively managed mutual funds.

Forgot your user name or password? However, the true cost of active management should be measured relative to the size of the active positions taken by a fund manager. Anttk Elusive Benefits of Protective Puts. Journal of Financial and Quantitative Analysis 44 5, Related articles in Web of Science Google Scholar. On the surface, hedge funds seem petahisto have much higher fees than actively managed mutual funds.

Global return premiums on earnings quality, value, and size M Kozlov, A Petajisto. How active is your fund manager? 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. For Permissions, please email: Jussi KeppoAntti Petajisto. Inefficiencies in the pricing of exchange-traded funds A Petajisto.

Their combined citations are counted only for the first article. We only request your email address so that the person you are pegajisto the page to knows that you wanted them to see it, and that it is not junk mail. If you have a subscription you may use the login form below to view the article.


In this article, the authors 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 amtti range of parameter estimates. Their calibration shows that a moderately skilled petajusto manager is approximately equally attractive to investors as a mutual fund manager or a hedge fund manager is, showing that both investment vehicles can coexist as efficient alternatives to investors.

New citations to this author. A mutual fund combines active positions with a passive position in the benchmark index, which can make the active positions expensive.

New articles related anttu this author’s research. Measuring Tail Risks at High Frequency.

Antti Petajisto, Ph.D

Title Cited by Year How active is your fund manager? Selection of an optimal index rule for an index fund A Petajisto. You do not currently have access to this article. Access to this article can also be purchased.