What Tracking Error and Active Risk Indicate about Future Performance скачать в хорошем качестве

What Tracking Error and Active Risk Indicate about Future Performance

We can use Tracking Error and Active Share to classify mutual funds into Diversified Stock Pickers, Concentrated Stock Pickers, Factor Bets, Moderately Active and Closet Indexing. Antti Petajisto's 2010 paper "Active Share and Mutual Fund Performance" indicates that most active stock pickers (those with high active share) outperform their benchmarks after transactions and fees. Subsequent research calls into question at least some of the conclusions of his research. My concern with active share (and to some degree tracking error) is that benchmarks can be completely misspecified and lead you to erroneous conclusions. If you are going to pay active fees, you should, at a minimum, understand tracking error and active share, verify that your manager is truly active, and verify that your active manager is investing in the asset class they say there invested in. #activemanagement #activeinvesting #equitymarkets #marketcommentary #equities #investing #indexinvesting #stockmarket #financialadvice #cfainstitute #marketanalysis #fraudprevention