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After a number of requests by both academics and practitioners for the data on Active Share for mutual funds, I am now making it 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 has been chosen among the common indices (S&P 500, Russell 2000, etc.) as the one producing the lowest Active Share, i.e., the one that has the greatest overlap with fund holdings. The time period is 1990-2006.
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 (2010) and Cremers and Petajisto (2009), where the concept was first introduced and applied.
If you agree to the above, you may proceed to download the following files:
Click here for a detailed description of the data.
INDEX-BASED FACTOR RETURNS FOR PERFORMANCE EVALUATION NEW: Updated 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:
Click here for a detailed description of the data.
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