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

Markus Broman and Jon Fulkerson

Journal of Banking & Finance, 2025, vol. 180, issue C

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.

Keywords: Mutual fund; Performance; Active share; Anomalies; International markets (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G15 G23 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:180:y:2025:i:c:s0378426625001657

DOI: 10.1016/j.jbankfin.2025.107545

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