Active Share: Different Is Not Better – ValueWalk Premium

Active Share: Different Is Not Better

Cliff Asness - Active Share: Different Is Not Better by AQR
A buzzword in the investment community these days is active share, a specific way to measure how different a portfolio is from its benchmark. On its own, such a measure wouldn’t attract much attention; what’s gotten people excited is the claim that higher active share predicts higher excess returns.

So does it? No, as we show in a new AQR white paper, “

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