SSRN-How Active is Your Fund Manager? A New Measure That Predicts Performance by K.J. Martijn Cremers, Antti Petajisto - http://papers.ssrn.com/sol3...
Aug 4, 2008
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Atul Arora
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"Active Share" measures how much a fund manager deviates from a benchmark index (not just tracking error). Interestingly, those who deviate more do better, and the performance persists over time. The margins of outperformance may not beat passive indexing for taxable investors but could still be useful for managing 401(k)s and 529s.
- Sanjeev Singh