Active share and mutual fund performance. Financial Analyst Journal 69, 73-93.Petajisto, A. (2013). Active Share and Mutual Fund Performance. Financial Analysts Journal, 69(4), 73-93.Petajisto, Antti, 2013, Active share and mutual fund performance, Financial Analysts Journal 60, 73-93....
Mutual fund performance and seemingly unrelated assets Estimates of standard performance measures can be improved by using returns on assets not used to define those measures. Alpha, the intercept in a regressi... Ľuboš Pástor and Robert F. Stambaugh - 《Journal of Financial Economics》 被引...
4 To deserve a higher (than proportionate) share of an investor's portfolio, the fund manager must convince the investor that the fund can be expected to deliver superior performance, relative to this naive strategy of investing in the entire group. Consequently, it is intuitive to use the ...
Consider pairing your core equity exposures with high conviction, high active share strategies to seek outperformance while keeping fees low. Whether you prefer Active ETFs or mutual funds, BlackRock has a high conviction, alpha-seeking solution for you. Equity MAEGX Unconstrained Equity Fund Morning...
Active funds hold the majority of Americans' wealth, but their share has steadily declined as investors seek out lower costs. Index funds held 41% of U.S. mutual fund and ETF assets as of March 2020, up from 3% in 1995 and 14% in 2005, according to a paper published by the Federal...
The graph below summarizes Cremers and Petajisto’s story. By examining fund managers’ performance over 1990-2003, they found that if a portfolio was 80-100% active share—significantly different from the benchmark—it had the largest positive deviant return of almost +1.5%. On the other ha...
Below is the formal definition and explanation, extracted from their 2009 paper, entitled “How Active Is Your Fund Manager? A New Measure That Predicts Performance.” Active Share can thus be easily interpreted as the “fraction of the portfolio that is different from the benchmark index.” [...
Active ShareDownside RiskImplicit IncentivesPerformance ChasingWe study the impact of the tournament-like competition in the mutual fund industry by examining the Active Share choices of funds. Funds with relatively poor pedoi:10.2139/ssrn.3074720Li, C. Wei...
Based on the results of the Cremers and Petajisto study, Active Share may be another tool that investors can use to evaluate potential mutual fund investments. However, it should be used along with other analysis tools for a more complete understanding of performance potential. ...
reflecting the net-of-fees performance of investible passive funds. The analysis also considers how the average dollar invested in active funds has fared versus the average dollar invested in passive funds and examines trends in active fund success by fee level...