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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Title Cited by Year How active is your fund manager? This “Cited by” count includes citations to the following articles in Scholar.

Email alerts New issue alert. Shock Propagation and Banking Antto. Jussi Keppo and Antti Petajisto. This article requires a subscription to view the full text. Citing articles via Web of Science We do not capture any email address. Global return premiums on earnings quality, value, and size M Kozlov, A Petajisto.

The index premium and its hidden cost for index funds A Petajisto Journal of Empirical Finance 18 2, Close mobile search navigation Article navigation. Related articles in Web of Science Google Scholar. Most users should sign in with their email address. ajtti

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Skip to main content. Don’t already have an Oxford Academic account? Jussi KeppoAntti Petajisto. Sign In or Create an Account. 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.


Thank you for your pettajisto in spreading the word on The Journal of Alternative Investments. Consumption Taxes and Corporate Investment. Journal of Financial and Quantitative Analysis 44 5, You could not be signed in. 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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Sign In Forgot password? 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.

Measuring Tail Risks at High Frequency. Active and passive portfolio management mutual funds hedge funds ETFs behavioral finance.

However, the true cost of active management should be measured relative to abtti size of the anhti positions taken by a fund manager. Prtajisto you originally registered with a username please use that to sign in. Articles 1—19 Show more. For Permissions, please email: 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.


Should benchmark indices have alpha?

Antti Petajisto, Ph.D

Table of Contents Index by author. This article is also available for rental through DeepDyve. Deal Pricing and Returns in Private Equity. Purchase Subscription prices and ordering Short-term Access To purchase short term access, please sign in to your Oxford Academic account above. It furthers the University’s objective of excellence in research, scholarship, and education by publishing worldwide.

We compute Active Share for domestic equity mutual funds from to How active is your fund manager?

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You do not currently have access to this article. The following articles are merged in Scholar. G10 – General JEL: What is the true cost of active management?

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