Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 27, 2020 erstellt
Description:
We examine how active share—the extent to which a portfolio's holdings differ from its benchmark's holdings—affects the performance, risk management, and flows of bond mutual funds. Measuring active share at both the issue and issuer level, the average bond fund has an issue-level (issuer-level) active share of over 90% (60%). Funds with higher issuer-level active share persistently earn higher alphas, which helps explain the relatively slow growth of passively managed bond funds. Furthermore, funds with higher active share exhibit both lower downside risk and lower flow sensitivity to poor performance, suggesting that highly active bond fund management alleviates run risk