Active Share data on individual U.S. equity mutual funds is available here: www.activeshare.info.
Data for academic research linked to the Thomson holdings database as available on WRDS, and as used in my academic research, can be downloaded here: as_dur_wficn_19902015_vSept2016.csv.
The data in as_dur_wficn_19902015_vSept2016.csv starts in 1990 and ends in 2015.
These are the data fields:
- yyyymm: year and month of the holdings report
- wficn: database identifer as used in the Thomson holdings database on WRDS
- bmk_min: abbreviation of the benchmark with the minimum Active Share
- min_as_bmk: benchmark with the minimum Active Share
- activeshare_min: minimum Active Share across all U.S.-equity benchmarks
- bmk_sd: abbreviation of the name of the self-declared benchmark
- activeshare_sd: Active Share with respect to the self-declared benchmark
- mfduration: mutual fund duration (in quarters)
- sd_bmk: self-declared benchmark
For more details on sample construction etc., see our paper "Patient Capital Outperformance", forthcoming in the Journal of Financial Economics, joint work with Ankur Pareek.