The Value of Active Share and Conditioning Information in Global Equity Funds

61 Pages Posted: 18 Apr 2024

Date Written: April 15, 2024

Abstract

Global equity funds invest worldwide and seek to add value through stock, industry and country selection. Using a sample of nearly 3,000 funds from 19 developed markets, we provide out-of-sample evidence that active share predicts future performance in foreign portfolios. The performance comes from stock picking rather than country selection. However, a fund’s within-region active share only predicts superior performance in Europe and Asia-Pacific, and not in the United States. We link these variations in return predictability to whether managers trade on anomalies. The best active global managers are on the “right side” of anomalies.

Keywords: Mutual Fund, Performance, Active Share, Anomalies, International Markets

JEL Classification: G11, G12, G14, G15, G23

Suggested Citation

Broman, Markus S. and Fulkerson, Jon A., The Value of Active Share and Conditioning Information in Global Equity Funds (April 15, 2024). Available at SSRN: https://ssrn.com/abstract=4799404 or http://dx.doi.org/10.2139/ssrn.4799404

Markus S. Broman (Contact Author)

Ohio University ( email )

College of Business, Finance Department
Copeland Business Annex 207
Athens, OH 45701-2979
United States

HOME PAGE: http://www.markusbroman.com

Jon A. Fulkerson

University of Dayton ( email )

300 College Park
Dayton, OH 45469
United States

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