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

@inproceedings{Cremers2009HowAI,
  title={How Active is Your Fund Manager? A New Measure That Predicts Performance},
  author={K. J. Martijn Cremers and Antti Petajisto},
  year={2009}
}
We introduce a new measure of active portfolio management, Active Share, which represents the share of portfolio holdings that di¤er from the benchmark index holdings. We compute Active Share for domestic equity mutual funds from 1980 to 2003. We relate Active Share to fund characteristics such as size, expenses, and turnover in the cross-section, and we also examine its evolution over time. Active Share predicts fund performance: funds with the highest Active Share signi…cantly outperform… CONTINUE READING

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