ACTIVE SHARE OF MUTUAL FUNDS

Data through 12/2009

After a number of requests by both academics and practitioners for the data on Active Share for mutual funds, I am now making the historical data available to everyone. The data file shows the Active Share of U.S. equity mutual funds, computed separately each quarter when fund holdings are disclosed. The benchmark index is the official benchmark index disclosed in the prospectus. However, the file also reports the benchmark index that produces the lowest Active Share. The time period is 1980-2009.

Here are the rules for using the data:

1) You must cite this website as the source of the data.

2) You must cite Petajisto (2013), which contains an updated description of how I constructed the data.

If you agree to the above, you may proceed to download the following files:

SAS data file

ASCII data file

Click here for a detailed description of the data.

You should think of the above data files as mostly an extension of the data used by Cremers and Petajisto (2009), adding another six years and containing a few methodological tweaks. If you are interested in the older data files, they are available here as a SAS data file and an ASCII data file.

INDEX-BASED FACTOR RETURNS FOR PERFORMANCE EVALUATION

Data through 2/28/2011

Fama and French (1993) introduced stock market factors to control for the size effect and the value effect. Cremers, Petajisto, and Zitzewitz (2008) build on the contribution of Fama and French by proposing similar but slightly revised versions of the factors. These alternative factors are based on common benchmark indices such as the S&P 500 and Russell 2000, and they have some advantages over the original factors in performance evaluation applications (see the paper for details).

Here are the rules for using the data:

1) You must cite this website as the source of the data.

2) You must cite Cremers, Petajisto, and Zitzewitz (2008), where the alternative factor models were proposed and tested.

If you agree to the above, you may proceed to download the following files:

SAS data file: monthly data

SAS data file: daily data

ASCII data file: monthly data

ASCII data file: daily data

Click here for a detailed description of the data.