Active share: A blessing and a curse
研究了主动管理型共同基金的主动份额与经理技能对业绩的影响，发现只有高技能经理的高主动份额基金才能跑赢指数基金，低技能的高主动份额基金反而表现更差。
Abstract We examine the implications of active mutual fund management across manager skill levels. We find that funds in the highest active share quintile outperform funds in the lowest active share quintile on a risk‐adjusted basis. When sorted on both active share and capture ratio, only managers with high skill and high active share experience positive future performance. Funds with high active share and low skill experience negative future risk‐adjusted returns, and these funds underperform all funds with low active share. We conclude that only funds with both high active management and high manager skill are preferable to index funds.