Abstract

http://ssrn.com/abstract=1468203
 
 

Citations



 


 



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


Martijn Cremers


University of Notre Dame

Antti Petajisto


New York University (NYU) - Department of Finance; Yale School of Management; BlackRock, Inc

September 2009

The Review of Financial Studies, Vol. 22, Issue 9, pp. 3329-3365, 2009

Abstract:     
We introduce a new measure of active portfolio management, Active Share, which represents the share of portfolio holdings that differ 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 significantly outperform their benchmarks, both before and after expenses, and they exhibit strong performance persistence. Nonindex funds with the lowest Active Share underperform their benchmarks.

Keywords: G10, G14, G20, G23

Accepted Paper Series





Not Available For Download

Date posted: September 8, 2009  

Suggested Citation

Cremers, Martijn and Petajisto, Antti, How Active is Your Fund Manager? A New Measure that Predicts Performance (September 2009). The Review of Financial Studies, Vol. 22, Issue 9, pp. 3329-3365, 2009. Available at SSRN: http://ssrn.com/abstract=1468203 or http://dx.doi.org/hhp057

Contact Information

K. J. Martijn Cremers (Contact Author)
University of Notre Dame ( email )
P.O. Box 399
Notre Dame, IN 46556-0399
United States
Antti Petajisto
New York University (NYU) - Department of Finance ( email )
Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
212-998-0378 (Phone)
HOME PAGE: http://www.petajisto.net/
Yale School of Management ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
HOME PAGE: http://www.petajisto.net/
BlackRock, Inc ( email )
400 Howard St
San Francisco, CA 94105
United States
415-670-7911 (Phone)
Feedback to SSRN


Paper statistics
Abstract Views: 1,258

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo3 in 0.391 seconds