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

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This article is also available for rental through DeepDyve. When Benchmark Indices Have Alpha: A comparison of hedge funds and mutual funds J Keppo, A Petajisto.

Shock Propagation and Banking Structure. New articles related to this author’s research. Their combined citations atnti counted only for the petajissto article. We compute Active Share for domestic equity mutual funds from to My profile My library Metrics Alerts.

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Most users should sign in with their email address. G20 – General JEL: The Journal of Alternative Investments Vol.

How active is your fund manager? A mutual fund combines active positions with a passive position in the benchmark index, which can make the active positions expensive.

In this article, the authors investigate the trade-offs from the perspective amtti 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 realistic range of parameter estimates.

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Why do demand curves for stocks slope down? Journal of Financial and Quantitative Analysis 44 5, Abstract On the surface, hedge funds seem to have much higher fees than actively petajistoo mutual funds.

Antti Petajisto – Google Scholar Citations

On the surface, hedge funds seem to have much higher fees than actively managed mutual funds. Petajieto articles in Web of Science Google Scholar. A hedge fund takes both long and short positions and uses leverage, which makes the active positions cheaper, but this can be offset by the expected incentive fees, especially for more volatile funds. Title Cited by Year How active is your fund manager?

Jussi KeppoAntti Petajisto. Purchase Subscription prices and ordering Short-term Access To purchase short term access, please sign in to your Oxford Academic account above. Measuring Tail Risks at High Frequency. Email alerts New issue alert. What is the true cost of active management? However, the petajito cost of active management should be measured relative to the size of the active positions taken by a fund manager.

Antti Petajisto, Ph.D

Table of Contents Index by author. Receive exclusive offers and updates from Oxford Academic. Petsjisto benchmark indices have alpha? New citations to this author. Don’t already have an Oxford Academic account? This “Cited by” count includes citations to the following articles in Scholar. Their calibration shows that a moderately skilled active 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.

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Selection of an optimal index rule for an index fund A Petajisto. Jussi Keppo and Antti Petajisto. Close mobile search navigation Article navigation. For Permissions, please email: 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.

The Review of Financial Studies 22 9, Consumption Taxes and Corporate Investment.

Antti Petajisto – Google 学术搜索引用

Nonindex funds with the lowest Active Share underperform their benchmarks. Access to this article can also be purchased.

Citing articles via Web of Science This article requires a subscription to view the full text. New articles by this author. You do not currently have access to this article. The following articles are merged in Scholar. Tweet Widget Facebook Like.