ANTTI PETAJISTO PDF

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 ยท Mutual Funds, Pooled Funds, and Exchange-Traded Funds.

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Email alerts New issue alert. Sign petakisto via your Institution Sign in. Abstract 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. Email address for updates. No citing articles found.

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Journal of Financial and Quantitative Analysis 44 5, G20 – General JEL: However, the true cost petjaisto active management should be measured relative to the size of the active positions taken by a fund manager.

To purchase short term access, please sign in to your Oxford Academic account above. A hedge fund takes both long and short positions and uses leverage, which makes the active positions cheaper, but this petajissto be offset by the expected incentive fees, especially for more volatile funds.

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Further, their model explains documented empirical findings on peajisto development of successful fund managers and on risk- taking in hedge funds. Consumption Taxes and Corporate Investment.

We do not capture any email address. Abstract On the surface, hedge funds seem to have much higher fees than actively managed mutual funds. This “Cited by” count includes citations to the following articles in Scholar.

Shock Propagation and Banking Structure. Oxford Pdtajisto Press is a department of the University of Oxford. Table of Contents Index by author. The following articles are merged in Scholar. Inefficiencies in the pricing of exchange-traded funds A Petajisto Financial Analysts Journal 73 1, Don’t have an account? A comparison of hedge funds and mutual funds J Keppo, A Petajisto. Global return premiums on earnings quality, value, and size M Kozlov, A Petajisto.

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Sign In or Create an Account. Active and passive portfolio management mutual funds hedge funds ETFs behavioral finance. 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. Related articles in Web of Science Google Scholar.

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Antti Petajisto, Ph.D

Their calibration shows that a moderately skilled active manager is approximately equally attractive to investors as a anttti fund manager or a hedge fund manager is, showing that both investment vehicles can coexist as efficient alternatives to investors. Purchase Subscription prices and ordering Short-term Access To purchase short term access, please sign in petajist your Oxford Academic account above.

It furthers the University’s objective of excellence in research, scholarship, and education by publishing worldwide. Measuring Tail Risks at High Frequency. Close mobile search navigation Article navigation.

The Journal of Alternative Investments Vol. Nonindex funds with the lowest Active Share underperform their benchmarks. New citations to this author.

Petanisto mutual fund combines active positions with a passive position in the benchmark index, which can make the active positions expensive. The Elusive Benefits of Protective Puts. Access to this article can also be purchased. If you originally registered with a username please use that to sign in. Citing articles via Web of Science