Active Share and Emerging Market Equity Funds

16 Pages Posted: 2 Feb 2018

See all articles by Aron A. Gottesman

Aron A. Gottesman

Pace University - Lubin School of Business - Department of Finance and Economics

Matthew R. Morey

Pace University - Lubin School of Business - Department of Finance and Economics

Multiple version iconThere are 2 versions of this paper

Date Written: December 1, 2017

Abstract

This paper represents the first attempt in the literature to specifically and solely examine the relationship between active share and emerging market equity fund performance. To do this we use a sample of U.S.-based actively managed diversified emerging market equity funds that we follow for six years from 2009–2014. With this sample of funds, we find a positive and significant relationship between the average level of a fund’s active share and fund performance. Funds that are more active have significantly better performance than other funds. We also find evidence that highly active funds that keep the level of activeness consistent over time have significantly better performance than funds that vary the level of activeness. Finally, we document that a significant number of diversified emerging market funds were closet indexing over the period 2009–2014, but that the percentage of funds that pursue this strategy has been declining.

Keywords: active share, emerging markets, mutual funds, fund performance

JEL Classification: G15, G23

Suggested Citation

Gottesman, Aron A. and Morey, Matthew R., Active Share and Emerging Market Equity Funds (December 1, 2017). Journal of Investment Consulting, Vol. 18, No. 1, 2017, pp. 11-23. Available at SSRN: https://ssrn.com/abstract=3116380

Aron A. Gottesman

Pace University - Lubin School of Business - Department of Finance and Economics ( email )

One Pace Plaza
New York, NY 10038
United States
212-346-1912 (Phone)
212-346-1573 (Fax)

Matthew R. Morey (Contact Author)

Pace University - Lubin School of Business - Department of Finance and Economics ( email )

One Pace Plaza
New York, NY 10038-1502
United States
212-618-6471 (Phone)

HOME PAGE: http://webpage.pace.edu/mmorey/

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