How Active is Your Fund Manager? A New Measure That Predicts Performance

By K. Cremers, Antti Petajisto. 2009

1,500 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/c68c2e8e6cf3c42b888d6eaa2a3a3e0ee6b5ce48

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Citations in the corpus

Portfolio Performance Manipulation and Manipulation-Proof Performance Measures (2007, neutral): “1 See, for example, Brown and Goetzmann (1997) on style investing, Cremers and Petajisto (2006) on closet indexing, and Lakonishok et al. (1991) on window dressing.”
Do Funds Make More When They Trade More (2016, positive): “Cremers and Petajisto (2009) ﬁnd that funds that deviate more from their benchmarks, as measured by “active share,” perform better.”
On the Economic Consequences of Index-Linked Investing (2010, neutral): “17 Elton, Gruber, and Blake (2003) and Cremers and Petajisto (2009) find that the S&P 500 is the most frequently used benchmark by mutual funds.”
Active Share and Mutual Fund Performance (2013, background): “Looking at stock returns directly, Cohen, Polk, and Silli (2010) found that the largest active positions of fund managers outperformed, suggesting that managers should hold less diversified portfolios.”
Motivated monitors: The importance of institutional investors׳ portfolio weights (2015, neutral): “19 This classification is analogous to that used by Cremers and Petajisto (2009).”
A Rational Theory of Mutual Funds' Attention Allocation (2016, neutral): “, Mamaysky and Spiegel (2002), Berk and Green (2004), Kaniel and Kondor (2013), Cuoco and Kaniel (2011), Vayanos and Woolley (2010), Chien, Cole, and Lustig (2011), Chapman, Evans, and Xu (2010), and Pástor and Stambaugh (2012). A number of recent papers in the empirical mutual fund literature also ”
Common Ownership in America: 1980–2017 (2019, neutral): “This is consistent with the literature in that the active share measure of Cremers and Petajisto (2009) is given by 1− L1(ws, w).26 Our goal is to quantify how indexed each investor is on a scale of [0, 1], with 1 being perfectly indexed.”
Measuring skill in the mutual fund industry (2015, background): “Cremers and Petajisto (2009) show that the amount a fund deviates from its benchmark is associated with better performance, and that this superior performance is persistent. Cohen, Polk, and Silli (2010) and Jiang, Verbeek, and Wang (2011) show that this performance results from overweighting stocks”