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

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.

Mutual Fund Observer

… a site in the tradition of Fund Alarm

Active Share

ARE YOU ACTIVE? WOULD YOU LIKE SOMEONE TO NOTICE?

ACTIVE SHARE DEFINED