Active Share

To help you make better decisions, we’ve begun gathering publicly-available active share data released by fund companies.  Because we know that compact portfolios are also correlated to higher degrees of independence, we’ve included that information too for all of the funds we could identify.

Fund

Ticker

Active share

Benchmark

Stocks

Artisan Emerging Markets (Adv) ARTZX

79.0

MSCI Emerging Markets

90

Artisan Global Equity ARTHX

94.6

MSCI All Country World

57

Artisan Global Opportunities ARTRX

95.3

MSCI All Country World

41

Artisan Global Value ARTGX

90.5

MSCI All Country World

46

Artisan International ARTIX

82.6

MSCI EAFE

68

Artisan International Small Cap ARTJX

97.8

MSCI EAFE Small Cap

45

Artisan International Value ARTKX

92.0

MSCI EAFE

50

Artisan Mid Cap ARTMX

86.3

Russell Midcap Growth

65

Artisan Mid Cap Value ARTQX

90.2

Russell Value

57

Artisan Small Cap ARTSX

94.2

Russell 2000 Growth

68

Artisan Small Cap Value ARTVX

91.6

Russell 2000 Value

103

Artisan Value ARTLX

87.9

Russell 1000 Value

32

ASTON/River Road Dividend All Cap Value ARDEX 88.5 Russell 3000 Value 61
ASTON/River Road Dividend All Cap Value II ADVTX 88.3 Russell 3000 Value 53
ASTON/River Road Independent Value ARIVX 98.6 Russell 2000 Value 20
ASTON/River Road Select Value ARSMX 95.4

Russell 2500 Value

69
ASTON/River Road Small Cap Value ARSVX 96.0 Russell 2000 Value 67
Barrow All-Cap Core Investor BALAX

92.7

S&P 500

182

Conestoga Small Cap CCASX

94.1

Russell 2000 Growth

48

Conestoga SMid Cap Investors CCSMX

93.3

Russell 2500 Growth

50

Diamond Hill Select DHLTX

89

Russell 3000 Index

35

Diamond Hill Large Cap DHLRX

80

Russell 1000 Index

49

Diamond Hill Small Cap DHSIX

97

Russell 2000 Index

68

Diamond Hill Small-Mid Cap DHMIX

97

Russell 2500 Index

62

DoubleLine Equities Growth DLEGX

88.9

S&P 500

38

DoubleLine Equities Small Cap Growth DLESX

92.7

Russell 2000 Growth

65

Driehaus EM Small Cap Growth DRESX

96.4

MSCI EM Small Cap

102

FPA Capital FPPTX

97.7

Russell 2500

28

FPA Crescent FPACX

90.3

Barclays 60/40 Aggregate

50

FPA International Value FPIVX

97.8

MSCI All Country World ex-US

23

FPA Perennial FPPFX

98.9

Russell 2500

30

Guinness Atkinson Global Innovators IWIRX

99

MSCI World

28

Guinness Atkinson Inflation Managed Dividend GAINX

93

MSCI World

35

LG Masters International  MSILX  89.9  MSCI EAFE  90
LG Masters Smaller Companies  MSSFX  98.2  Russell 2000  52
LG Masters Equity  MSEFX  84.2  Russell 3000  85
LindeHansen Contrarian Value LHVAX

87.1 *

Russell Midcap Value

23

Parnassus Equity Income PRBLX

86.9

S&P 500

41

Parnassus Fund PARNX

92.6

S&P 500

42

Parnassus Mid Cap PARMX

94.9

Russell Midcap

40

Parnassus Small Cap PARSX

98.8

Russell 2000

31

Parnassus Workplace PARWX

88.9

S&P 500

37

Pinnacle Value PVFIX

98.5

Russell 2000 TR

37

Poplar Forest Partners Fund PFPFX

90.2

S&P 500

30

Third Avenue Value TAVFX 98.1 MSCI World 37
Third Avenue International Value TAVIX 97.0 MSCI World ex US 34
Third Avenue Small Cap Value TASCX

94.3

Russell 2000 Value

37

Third Avenue Real Estate TAREX

91.1

FTSE EPRA/NAREIT Developed

31

Touchstone Capital Growth TSCGX

77

Russell 1000 Growth

58

Touchstone Emerging Markets Eq TEMAX

80

MSCI Emerging Markets

68

Touchstone Focused TFOAX

90

Russell 3000

37

Touchstone Growth Opportunities TGVFX

78

Russell 3000 Growth

60

Touchstone Int’l Small Cap TNSAX

97

S&P Developed ex-US Small Cap

97

Touchstone Int’l Value FSIEX

87

MSCI EAFE

54

Touchstone Large Cap Growth TEQAX

92

Russell 1000 Growth

42

Touchstone Mid Cap TMAPX

96

Russell Midcap

33

Touchstone Mid Cap Growth TEGAX

87

Russell Midcap Growth

74

Touchstone Mid Cap Value TCVAX

87

Russell Midcap Value

80

Touchstone Midcap Value Opps TMOAX

87

Russell Midcap Value

65

Touchstone Sands Capital Select TSNAX

88

Russell 1000 Growth

29

Touchstone Sands Growth CISGX

88

Russell 1000 Growth

29

Touchstone Small Cap Core TSFAX

99

Russell 2000

35

Touchstone Small Cap Growth MXCAX

90

Russell 2000 Growth

81

Touchstone Small Cap Value FTVAX

94

Russell 2000 Value

75

Touchstone Small Cap Value Opps TSOAX

94

Russell 2000 Value

87

William Blair Growth WBGSX

83

Russell 3000 Growth

53

*        LindeHansen notes that their active share is 98 if you count stocks and cash.  To the extent that cash is a conscious choice (i.e., “no stock in our investable universe meets our purchase standards, so we’ll buy cash”), count both makes a world of sense.  I just need to find out how other investors have handled the matter.

ARE YOU ACTIVE?  WOULD YOU LIKE SOMEONE TO NOTICE?

We’ve been scanning fund company sites, looking for active share reports. If we’ve missed you, we’re sorry. Help us correct the oversight  by sending us the link to where you report your active share stats. We’d be more than happy to offer a permanent home for the web’s largest open collection of active share data.

ACTIVE SHARE DEFINED

K. J. Martijn Cremers and Antti Petajisto introduced the new measure of active portfolio management, called Active Share, which represents the share of portfolio holdings that differ from the benchmark index holdings.

Below is the formal definition and explanation, extracted from their 2009 paper, entitled “How Active Is Your Fund Manager? A New Measure That Predicts Performance.”

Active Share can thus be easily interpreted as the “fraction of the portfolio that is different from the benchmark index.” [I]t provides information about a fund’s potential for beating its benchmark index—after all, an active manager can only add value relative to the index by deviating from it.

Our new intuitive and simple way to quantify active management is to compare the holdings of a mutual fund with the holdings of its benchmark index. We label this measure the Active Share of a fund, and we define it as

2014-04-05_1810

As an illustration, let us consider a fund with a $100 million portfolio benchmarked against the S&P 500. Imagine that the manager starts by investing $100 million in the index, thus having a pure index fund with five hundred stocks. Assume that the manager only likes half of the stocks, so he eliminates the other half from his portfolio, generating $50 million in cash, and then he invests that $50 million in those stocks he likes.

This produces an Active Share of 50% (i.e., 50% overlap with the index). If he invests in only fifty stocks out of five hundred (assuming no size bias), his Active Share will be 90% (i.e., 10% overlap with the index). According to this measure, it is equally active to pick fifty stocks out of a relevant investment universe of five hundred or ten stocks out of hundred—in either case you choose to exclude 90% of the candidate stocks from your portfolio.