Active Share and Mutual Fund Performance. Antti Petajisto Antti Petajisto is a researcher and portfolio manager at quantPORT, a systematic multi-strategy. 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 data file shows the Active Share of U.S. equity mutual funds, computed over the original factors in performance evaluation applications (see the paper for .
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This paper empirically investigates the index premium and its implications from to Portfolio management, Active Share, tracking error, closet indexing.
You mufual think of the above data files as mostly an extension of the data used by Cremers and Petajistoadding another six years and containing a few methodological tweaks.
Demand curves for stocks, delegated portfolio management, equilibrium mispricing, index premium. I sort domestic all-equity mutual funds into different categories of active management using Active Share and tracking error.
We show why and how to adjust acrive expense ratio for the level of Active Share and the cost of investing in the benchmark. Inefficiencies in the Pricing of Exchange-Traded Funds.
Petajisto / Data
Should Benchmark Indices Have Alpha? Closet Indexing,” November 15, pdf file.
September joint with Jussi Keppo published version working paper. Here are the rules for using the data:.
I find that over my sample period until the end ofthe most active stock pickers have outperformed their benchmark indices even after fees and transaction costs. This result holds both in the overall sample as well as in the more recent time period since We apply this approach to the universe of all-equity mutual funds to characterize how much and what type adtive active management they practice.
How active is your fund manager? Employing proprietary IPD data for U. The prices of exchange-traded funds can deviate anntti from their net asset values, peformance average fluctuating within a band of about basis points, in spite of the arbitrage mechanism that allows authorized participants to create and redeem shares for the underlying portfolios.
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. Journal of Financial and Quantitative Analysis 44 5, However, the file ahare reports the benchmark index that produces the lowest Active Share. These funds do not seem to take increased risk and their outperformance cannot be explained by fund size alone, though on average they are smaller funds.
Why do demand curves for stocks slope down? Active management also predicts fund performance: Active and passive portfolio management mutual funds hedge funds ETFs behavioral finance. To control for stale pricing performanve the underlying assets, I introduce a novel approach using the cross-section of prices on a group of similar ETFs. New articles by this author. Financial Analysts Journal, 73 1: Cremers, Petajisto, and Zitzewitz build on the contribution of Fama and French by proposing similar but slightly revised versions of the factors.
September joint with Martijn Cremers published version working paper. Boucher, Christopher, and Bertrand Maillet: We find that actively managed funds are more active and charge lower fees when they face more competitive pressure from jutual explicitly indexed funds. Click here for a detailed description of the data. Our calibration shows that a moderately skilled active manager is approximately equally attractive to investors as a mutual fund manager anttk as a hedge fund manager, showing that both investment vehicles can coexist as efficient alternatives to investors.
Academic Research // Active Share // University of Notre Dame
Related video appearance on CNBC link. To quantify active portfolio management, we introduce a new measure we label Active Share. It describes the share of portfolio holdings that differ from the benchmark index.
This paper resolves the puzzle by proposing that stock prices are instead set by two separate classes of investors. We argue that persistent closet indexing implicates a number of legal issues, including possible liability for fund advisors under the Securities Act and the Investment Company Act. Active Share, tracking error, closet indexing.
Verified email at sloan. Active Share and Mutual Fund Performance. We test how active management is related to fund characteristics such as size, expenses, and turnover in the cross-section, and we examine the evolution of active pfrformance over time.
We examine the relation between indexing and active management in the mutual fund industry worldwide.