Variation in the value of active share across regions of investments: Evidence from global equity funds

Using a worldwide sample of 3250 global equity funds, we provide out-of-sample evidence of active share as a strong return predictor. However, a global fund’s within-region active share predicts superior performance in Europe and Asia-Pacific, but not in the United States. We reconcile this difference by showing that highly active global managers (whether based in the U.S. or elsewhere) have outperformed both in U.S. and international markets primarily when they are also betting on equity anomalies. The weak return predictability of active share alone in the U.S. stems from domestic anomalies and is not generalizable to global markets.

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Publication Details

Journal
Journal of Banking & Finance
Published
2025-09-01
DOI
https://doi.org/10.1016/j.jbankfin.2025.107545
Primary Topic
Financial Markets and Investment Strategies
Type
article
Field-Weighted Citation Impact
0.00
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article

Variation in the value of active share across regions of investments: Evidence from global equity funds

Markus S. Broman, Jon A. Fulkerson
Journal of Banking & Finance
Financial Markets and Investment Strategies
article

Variation in the value of active share across regions of investments: Evidence from global equity funds

Markus S. Broman, Jon A. Fulkerson
article en

Abstract

Using a worldwide sample of 3250 global equity funds, we provide out-of-sample evidence of active share as a strong return predictor. However, a global fund’s within-region active share predicts superior performance in Europe and Asia-Pacific, but not in the United States. We reconcile this difference by showing that highly active global managers (whether based in the U.S. or elsewhere) have outperformed both in U.S. and international markets primarily when they are also betting on equity anomalies. The weak return predictability of active share alone in the U.S. stems from domestic anomalies and is not generalizable to global markets.

Journal of Banking & FinanceVol. 180
University of Dayton (US), Ohio University (US)
Openalex Percentile: Top 70%
Financial Markets and Investment Strategies
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