The empirical results presented in the study support the claim that active weight is more effective than active share, and captures something different. However, it may be prone to the same issues that plague active share. For instance, active weight also tends to be higher for small-cap funds than for large-cap funds, and it is unclear how effective the measure is within these categories. It is also unclear what would happen if we adjusted active weight appropriately for differences in active risk and fee levels.
Footnote
1Doshi, Elkamhi & Simutin, “Managerial Activeness and Mutual Fund Performance”, Review of Asset Pricing Studies 5 (2), 2015, pp. 156-184
From the field
Our researchers publish many whitepapers based on their own empirical studies; they also follow quantitative research done by others.
