Inefficiencies in the Pricing of Exchange-Traded Funds. January published version working paper. Financial Analysts Journal , , 73 1 lead article. Note: The data have been fully refreshed, adding 4 more years to the earlier sample.
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Closet indexing has increased in both volatile and bear markets since Cross-sectional dispersion in stock returns positively predicts performance by stock pickers. Antti Petajisto is a researcher and portfolio manager at quantPORT, a systematic multi-strategy asset manager and formerly the proprietary trading desk of Jefferies.
Categories Investment Funds.
Active Share Measures Active Management
How much active management is being done by your mutual fund manager? Active Share may give you the answer. Active Share is a measure of the percentage of stock holdings in a manager's portfolio that differs from the benchmark index. The researchers conclude managers with high Active Share outperform their benchmark indexes and Active Share significantly predicts fund performance. Active Share is also useful in identifying closet indexers—managers who claim to be active but whose portfolios are very similar to the benchmark portfolio. Identifying closet indexers is extremely important because active management fees can be a significant hurdle to outperforming the index for anyone holding a portfolio similar to its benchmark. The Yale study also found funds tended toward low Active Share.
Active Share and Mutual Fund Performance
Skip to search form Skip to main content You are currently offline. Some features of the site may not work correctly. DOI: I sort domestic all-equity mutual funds into different categories of active management using Active Share and tracking error.
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