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. Active and passive portfolio management mutual funds hedge funds ETFs behavioral finance.

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. Abstract On the surface, hedge funds seem to have much higher fees than actively managed mutual funds.

Antti Petajisto, Ph.D

Active Share predicts fund performance: Purchase Subscription prices and ordering Short-term Access To purchase short term access, please sign in to your Oxford Academic account above.

Consumption Taxes and Corporate Investment.

Email alerts New issue alert. You do not currently have access to this article. You could not be signed in. The following articles are merged in Scholar. A mutual fund combines active antti with a passive position in the benchmark index, which can make the active positions expensive.


Inefficiencies in the pricing of exchange-traded funds A Petajisto Financial Analysts Journal 73 1, Forgot your user name or password? Receive exclusive offers and updates from Oxford Academic. To purchase short term access, please abtti in to your Oxford Academic account above.

New citations to this author. The Journal of Alternative Investments Vol. Jussi KeppoAntti Petajisto. Shock Propagation and Banking Structure. New articles related to this author’s research. What is the true cost of active management?

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Why do demand curves for stocks slope down? Sign In Forgot password? Global return premiums on earnings quality, value, and size M Kozlov, Petzjisto Petajisto. New articles by this author. Oxford University Press is a department of the University of Oxford.

Articles 1—19 Show more. A hedge fund takes both long and short positions and uses leverage, abtti makes the active positions cheaper, but this can be offset by the expected incentive fees, especially for more volatile funds.


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, petajistp the impact of leverage, volatility, Active Share, nominal fees, and alpha for a realistic range of parameter estimates. However, the true cost of active management should be measured relative to the size of the active positions taken by a fund manager. Jussi Keppo and Antti Petajisto. Verified email at sloan. Tweet Widget Facebook Like.

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Last modified: April 20, 2020