Earning the trust of private investors for them is complicated by a lot of unsolved problems. Martijn and petajisto, antti and zitzewitz, eric w. International center for finance, yale school of management. Inefficiencies in the pricing of exchangetraded funds. To order reprints of this article, please contact dewey palmieri at dpalmieriat or 212. I am pleased to acknowledge conversations or collaboration with fernando alvarez, adam ashcraft, david bates, stephen buser, lauren cohen, alex edmans, alessio farhadi, nicolae garleanu, gaston giroux, jeremy graveline, denis gromb, christian lundblad, semyon malamud, gustavo manso, stefan nagel, david ng, antti petajisto, lasse pedersen, adam. Thanks also to the referee, robert stambaugh the editor, bob shiller, will goetzmann, riccardo puglisi, sigridur benediktsdottir, antti petajisto, judy chevalier, richard mendenhall, langdon wheeler, myron scholes, kent daniel, jeremy stein and toby moskowitz, and to seminar participants at yale university, the university of north carolina. Antti petajisto is a vice president at blackrock, san. Apr 20, 2015 yale researchers antti petajisto and martijn cremers shook up the world of finance when they published their 2007 paper introducing the concept of active share. Yale researchers antti petajisto and martijn cremers shook up the world of finance when they published their 2007 paper introducing the concept of active share. Most statistics in the investment industry and corporate america fail the. Aug 18, 2019 antti petajisto antti petajisto is a researcher and portfolio manager at quantport, a systematic multistrategy.
Details on the data file for indexbased factor returns c antti petajisto, 20090226. Representative agent models are inconsistent with existing empirical evidence for steep demand curves for individual stocks. First, we find that the price impact has averaged 8. The most active stock pickers outperformed their benchmark indices eve. Download our guidebook to the full curriculum readings that provides commentary on what the updates mean for practitioners. Jan 11, 2007 the authors thank joon chae, ilan guedj, jannette papastaikoudi, antti petajisto, and jean. Kaappiindeksi laskuttaa tyhjasta, talouselama, november 6, 2006 in finnish wheleham, barbara. Apr 19, 2020 download raudhatul muhibbin pdf viewer. Received 30 december 2008 received in revised form 6 october 2010 accepted 12 october 2010 available online 27 october 2010. Cremers, petajisto, and zitzewitz 2008 build on the contribution of fama and french by proposing similar but slightly revised versions of the factors.
Attention to active share enables lowercost equity portfolios, and potentially betterperforming ones. Open in new tab download slide the share of us allequity mutual fund assets in each active share category in 19802003 3. Journal of empirical finance antti petajistos home page. Details on the index return data file antti petajistos.
The author is grateful to martijn cremers, rick green, ron kaniel, stijn van nieuwerburgh, antti petajisto, nick roussanov, luke taylor, and yu yuan for helpful comments or assistance. Do exogenous changes in passive institutional ownership. There is a logical case for active management, but the key challenge is identifying aboveaverage portfolio managers ahead of time. Petajisto 2009 summarizes the leading alternative hypotheses liquidity, information, and market segmentation and points out why they cannot fully account for the variety of evidence for downwardsloping demand curves. Antti petajisto pdf antti petajisto of yale university, ct yu with expertise in. The economic significance of this financial innovation is enormous. By closing this message, you are consenting to our use of cookies. For example, index stocks experience price effects if index weights are redefined even when index membership remains the same. The comments of two anonymous referees led to revisions which. Active share and mutual fund performance petajisto.
Global return premiums on earnings quality, value, and. Martijn and petajisto, antti, how active is your fund manager. We thank brian bushee for sharing his investor classification data and antti petajisto for sharing his benchmark classification data. The factors are the returns on longshort zero net investment portfolios defined as follows. The disposition effect and underreaction to news frazzini. The index premium and its hidden cost for index funds. August 2009 active versus passive equity managers using. This paper resolves the puzzle by proposing that stock prices are instead set by two separate classes of investors. This article was written when the author was a finance professor at the nyu stern. It examined the factors affecting the real return of pension portfolios in different countries. The authors thank joon chae, ilan guedj, jannette papastaikoudi, antti petajisto, and jean.
A good driver of investment returns, october 4, 2006. We find that these alphas arise primarily from the disproportionate weight the famafrench factors place on small value stocks, which have performed well, and from the crsp valueweighted market index. The present study examined ways to improve the efficiency of portfolio management of pension savings in the russian federation. A new measure that predicts performance, working paper, yale school of management, march 31, 2009. They are grateful to wayne ferson and seminar and conference participants at boston college, the chinese university of hong kong. Cfa institute blogs read posts written for investment professionals by investment professionals providing analysis of current issues in finance. Kozlov, max and petajisto, antti, global return premiums on earnings quality, value, and size january 7, 20. Fitzgibbons, jeremy getson, tarun gupta, antti ilmanen, ronen israel, sarah. To learn about our use of cookies and how you can manage your cookie settings, please see our cookie policy. Using active share and tracking error, the author sorted allequity mutual funds into various categories of active management. Simple formulas for standard errors that cluster by both firm and time.
Antti petajisto nyu stern school of business, 44 west 4th street, suite 9190, new york, ny 100121126, united states article info abstract article history. Top 100 most downloaded paper on ssrn across all time and disciplines. Presidential address to the american finance association, philadelphia, pennsylvania, january 2014. Series like ethics in practice help members champion ethical behavior. The paper discusses the key problems of information transparency of mutual funds which impede their development in the domestic financial market. Problems of formation and evaluation of strategies for. Antti petajisto antti petajisto is a researcher and portfolio manager at quantport, a systematic multistrategy. Petajisto, antti, active share and mutual fund performance january 15, 20. Active share and mutual fund performance antti petajisto using active share and tracking error, the author sorted allequity mutual funds into various categories of active management. Active share and tracking error that we downloaded from petajistos website. To order reprints of this article, please contact dewey palmieri at dpalmieriat.
The prices of exchangetraded funds etfs can deviate significantly from their net asset values navs, in spite of the arbitrage mechanism that allows authorized participants to create and redeem. Untuk pencarian cepat gunakan ctrlf untuk menemukan judul kitab nama pengarang yang dicari. Seeking portfolio manager skill antti petajistos home page. We introduce a new measure of active portfolio management, active share, which. Free face painting book download mercuri caddy binaries roxio webshot passaggio. The prices of exchangetraded funds etfs can deviate significantly from their net asset values navs, in spite of the arbitrage mechanism that allows authorized participants to create and redeem shares for the underlying portfolios. Paul sursock for excellent research assistance, and jonathan lewellen for providing his industry classification scheme. An active share score of 0 indicates a portfolio that is identical to its primary benchmark index. Active share measures the percentage of fund holdings that is different from the benchmark holdings. Antti petajisto, mitchell petersen and christopher polk for helpful comments. Fahlenbrach and schmidt gratefully acknowledge financial. This paper empirically investigates the index premium and its implications from 1990 to 2005. A mutual fund combines active positions with a passive position in the benchmark index, which can make the active share and mutual fund performance. The index premium and its hidden cost for index funds by.
A regulatory framework for exchangetraded funds article by. A new measure that predicts performance march 31, 2009. Antti petajisto of yale university, ct yu with expertise in. In russia, openend mutual funds have not yet fulfilled their potential for retail investors. Martijn cremers and antti petajisto, how active is your fund manager. Active share is an important innovation that gives our industry a common method and language to define how active an active equity manager really is. Dec 28, 2018 using active share and tracking error, the author sorted allequity mutual funds into various categories of active management. This is the first academic work to show the need for, or to offer, a regulatory framework for exchangetraded funds etfs. Antti petajisto, active share and mutual fund performance, working paper, december 15, 2010.
Send correspondence to antti petajisto, yale school of management, po box 208200, new haven, ct 065208200. Efficiency in portfolio management of equity funds and. Active share and mutual fund performance by antti petajisto. Active share and mutual fund performance by antti petajisto ssrn. Research note august 2009 active versus passive equity managers using the active share measure. The most active stock pickers outperformed their benchmark indices even after fees, whereas closet indexers underperformed. The impact of active share on portfolio performance seeking. Instead, a large volume of research has focused on fund performance directly.
Antti petajisto new york university stern school of business 44 w 4th st. Etfs also possess an array of unique characteristics raising. Simple formulas for standard errors that cluster by both. Revisiting performance evaluation, nber working papers 18050, national bureau of economic research, inc. Antti petajisto national bureau of economic research. Active share and mutual fund performance request pdf. We obtain active share data from antti petajistos web site, constructed using the methodology outlined by petajisto 20. The role of a more liberal requirements on the composition and structure of the portfolio of pension savings, as well as antiinflationary policy in raising. Martijn cremers, antti petajisto and eric zitzewitz university of notre dame, new york university nyu department of finance and dartmouth college downloads 83 314,109.
August 2009 active versus passive equity managers using the. We also thank antti petajisto, murray carlson, douglas diamond, kenneth french, lorenzo garlappi, rob heinkel, narasimhan jegadeesh, lisa kramer. The impact of active share on portfolio performance. Oct 01, 20 download a pdf version of this white paper.
964 1284 1026 807 1064 109 490 155 367 707 863 401 86 105 797 1123 1055 94 1142 9 307 1375 1249 410 1074 592 560 650 216 158 534 1204 207 903