Gardajin However, the true cost of active management should be measured relative to the size of the active positions taken by a fund manager. Active Share predicts fund performance: You do not currently have access to this article. 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. The following articles are merged in Scholar. Further, their model explains documented empirical findings on career development of successful fund managers and on risk- taking in hedge funds.
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The most active stock pickers outperformed their benchmark indices even after fees, whereas closet indexers underperformed. These patterns held during the —09 financial crisis and within market-cap styles. Closet indexing has increased in both volatile and bear markets since Cross-sectional dispersion in stock returns positively predicts performance by stock pickers.
About the Author s Antti Petajisto Antti Petajisto is a researcher and portfolio manager at quantPORT, a systematic multi-strategy asset manager and formerly the proprietary trading desk of Jefferies. His academic research includes the development of the Active Share concept for quantifying active portfolio management, performance evaluation of money managers, pricing inefficiencies in exchange-traded funds, and the price impact of passive indexing strategies.
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ANTTI PETAJISTO PDF
Active Share and Mutual Fund Performance