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Research Driven Actively Managed Strategy

In 2006, two Yale professors introduced active share to the investment community as a holdings-based statistic that measures how different a fund is from its benchmark as well as the proportion of a portfolio that is driving performance. The professors determined there was a positive relationship between fund performance and the fund manager's willingness to be different from the benchmark. Related studies have examined the relationship between manager conviction and the potential for outperformance. A high degree of active share does not assure outperformance of a fund relative to its benchmark index.

Explore In-Depth Active Share Research

To understand the applications of active share, you can examine the theory, process, measurement and mathematical calculations behind tested research in articles written and published by Professor Martijn Cremers, PhD.

Three Requirements for Active Managers

 The art and science of investing can be the key differentiator of active managers. Find out if your fund managers meet expectations.

Seek Active Qualities in Asset Managers

How Active Is Your Fund Manager?

Discover the methodology of active share, how fund managers apply this investment theory and a fund's active share. 

New Measure of Active Performance

Do Mutual Fund Investors Get What They Expect?

Get in-depth analysis of actively managed mutual funds, performance and benchmark data and its implications to portfolio management.

Legal Consequences of Closet Index Funds

Investment Skill of High Active Share Managers Who Trade Infrequently

Holding stocks for a relatively long period is in itself not associated with better performance.

Long-Term Investment Strategies

When Is a Match Not a Match?

A substantial portion of mutual fund prospectus benchmarks understate risk and, consequently, overstate relative performance.

Studies Shed New Light on Active Management

Most recent research finds active management more promising for investors than the conventional wisdom claims.
martijn cremers

Origins of Active Share Methodology

Martijn Cremers, PhD, served as a faculty member at Yale School of Management when he wrote the paper “How Active Is Your Fund Manager? A New Measure That Predicts Performance” (published in the Review of Financial Studies, 2009) which introduced a measure of active management called active share that is based on a comparison of the holdings of a fund with those of its benchmark. The active share measure has become widely used in the financial industry. Cremers’ research focuses on empirical issues in investments and corporate governance. His academic work has been published in top academic journals such as the Journal of Finance, the Review of Financial Studies and the Journal of Financial Economics.

Download Dr. Cremers' Expanded Bio

This material is offered by Touchstone in affiliation with Professor Martijn Cremers. Touchstone Securities, Inc. is independent of Martijn Cremers.

Active Share measures the percentage of the Fund's holdings that differ from those of the benchmark. It is calculated by taking the sum of the absolute difference between all of the holdings and weights in the portfolio and those of the benchmark holdings and weights and dividing the result by two. Index performance is not indicative of fund performance. Investing in an index is not possible. Active Share is not a performance measurement. There are no assurances that any strategy or investment approach will meet its objectives. This information should not be considered as investment advice or a recommendation of any particular security, strategy or investment product. Past performance is not indicative of future results.