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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Their calibration shows that a moderately skilled pehajisto manager is approximately equally attractive to investors as a petaijsto fund manager or a hedge fund manager is, showing that both investment vehicles can coexist as efficient alternatives to investors. The Review of Financial Studies 22 9, New citations to this author. New articles related to this author’s research.

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Antti Petajisto, Ph.D

You do not currently have access to this article. Inefficiencies in the pricing of exchange-traded funds A Petajisto Financial Analysts Journal 73 1, We do not capture any email address. Active and passive portfolio management mutual funds hedge funds ETFs behavioral finance.

When Benchmark Indices Have Alpha: Jussi Keppo and Antti Petajisto. The index premium and its hidden cost for index funds A Petajisto Journal of Empirical Finance 18 2, A comparison of hedge funds and mutual funds J Keppo, A Petajisto.

Related articles in Web of Science Google Scholar. Further, their model explains documented empirical findings on career development of successful fund managers and on risk- taking in hedge funds.


However, the true cost of active management should be measured relative to the size of the active positions taken by a fund manager. Email alerts New issue alert. Selection of an optimal index rule for an index fund A Petajisto. My profile My library Metrics Alerts. This article is also available for rental through DeepDyve.

Antti Petajisto – Google Scholar Citations

We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. A mutual fund combines active positions with a passive position in the benchmark index, which can make the active positions expensive. Thank you for your interest in spreading the word on The Journal of Alternative Investments. Table of Contents Index by author.

This article requires a subscription to view the full text. 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 realistic range of parameter estimates.

Sign in via your Institution Sign in. Title Cited by Year How active is your fund manager? The system can’t perform the operation now. Don’t have an account? 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. G10 – General JEL: We compute Active Share for domestic equity mutual funds from to For Permissions, please email: You could not be signed in.


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Should benchmark indices have alpha?

On the surface, hedge funds seem to have much higher fees than actively managed mutual funds. Petqjisto articles by this author. Shock Propagation and Banking Structure. 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.

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Active Share predicts fund performance: The Elusive Benefits of Protective Puts. Nonindex funds with the lowest Active Share underperform their benchmarks.

Receive exclusive offers and updates from Oxford Academic. Verified email at sloan. Access to this article can also be purchased. Email address for updates. Jussi KeppoAntti Petajisto. Journal of Financial and Quantitative Analysis 44 5, Oxford University Press is a department of the University of Oxford. Most users should sign in with their email address.

This “Cited by” count includes citations to the following articles in Scholar. Citing articles via Web of Science