Data
Active Share data on individual U.S. equity mutual funds is available here: www.activeshare.info.
Data for academic purposes is provided below.
Active Share
Both of the following files contain end-of-quarter data on Active Share for U.S. equity mutual funds, measured following Cremers and Petajisto (2009) and Cremers (2017) for all funds in the database, regardless of style.
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Active Share – June 1979 to December 2019 (using Thomson Reuters holdings)
- The underlying fund holdings data is from Thomson Reuters. The set of benchmarks is drawn from Cremers, Fulkerson, and Riley (2022) and includes the S&P 500, 400, and 600; the Russell 1000, 2000, 3000, and Midcap; and the value and growth components of those benchmarks. Not all benchmarks are available over the full period. When a benchmark is not available, the observation is set to missing. The accompanying readme file provides further information.
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Active Share – March 2020 to September 2021 (using CRSP holdings)
- The underlying fund holdings data is from CRSP. The set of benchmarks includes the S&P 500, 400, and 600; the Russell 1000, 2000, 3000, and Midcap; and the value and growth components of those benchmarks, except for the Russell 3000. The accompanying readme file provides further information.
The Stata code that generated these active share files—written by Tim Riley at University of Arkansas—is available for download (Thomson Reuters and CRSP). We are unable to respond to requests for technical support related to the code, but if you identify any major errors, please inform us.
Benchmark Mismatch
This file contains end-of-quarter data on Benchmark Mismatch measured following Cremers, Fulkerson, and Riley (2022). The set of benchmarks includes the S&P 500, 400, and 600; the Russell 1000, 2000, 3000, and Midcap; and the value and growth components of those benchmarks. The time period is March 1979 through September 2021, but not all benchmarks are available over the full period. When a benchmark is not available, the observation is set to missing.