In the article “Inefficiencies in the Pricing of Exchange-Traded Funds”, Antti Petajisto proposes a novel approach that controls for stale pricing of the underlying assets, which could be useful in detecting mispricing of ETFs and in creating active trading strategies that exploit these mispricings.
Antti Petajisto, Ph.D., is a portfolio manager at LMR Partners, a multi-strategy hedge fund, where he focuses on researching and implementing quantitative trading strategies in global equity markets. Previously he was a researcher and portfolio manager in BlackRock’s Scientific Active Equities group, where he developed new alpha signals and managed quantitative equity portfolios in emerging markets, and before that he worked on global tactical asset allocation within BlackRock’s Multi-Asset Strategies group. Dr. Petajisto has also worked as a finance professor at the Yale School of Management and NYU Stern School of Business, where he taught MBA courses on investments, portfolio management, and behavioral finance. 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. He has a Ph.D. in Finance from MIT Sloan School of Management and M.Sc. in Engineering Physics from the Helsinki University of Technology.
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