FYI: Active Share is a measurement of the degree to which a portfolio differs from its benchmark. A portfolio that is identical to its benchmark would have Active Share of 0%, while a portfolio that had none of the same holdings would have Active Share of 100%.
This measurement was defined and popularized by the 2009 paper, How Active is Your Fund Manager? A New Measure That Predicts Performance, by Martijn Cremers and Antti Petajisto. The problem, according to AQR, is that Active Share isn’t nearly as predictive as the title of the Cremers and Petajisto paper would seem to indicate – in fact, the authors of a new white paper published by AQR controversially contend that Active Share has “no predictive power” at all.
Regards,
Ted
http://dailyalts.com/aqr-deactivates-active-share-new-white-paper/
