Active Share

Measure how much each fund’s holdings differ from every other fund’s: half the sum, over all holdings of either fund, of the absolute difference between their weights. Against an index fund it shows how far a fund departs from the index: an active share of 0.2 means 20% of the portfolio differs and 80% is the index. Cremers and Petajisto (2009) call funds below about 0.6 closet indexers.

Also known as: active share, portfolio difference, deviation from the benchmark.

The formula is as follows:

\[\text{Active Share} = 1 / 2 \cdot \operatorname{SUM}(| \text{Weight Fund}\; i - \text{Weight Other Fund}\; i |)\]

For more information, see the following paper:

Cremers, K.J.M., & Petajisto, A. (2009). “How Active Is Your Fund Manager? A New Measure That Predicts Performance.” Review of Financial Studies, 22(9), 3329-3365.

Install the Finance Toolkit with:

pip install financetoolkit -U

Then call get_active_share as shown below.

from financetoolkit import Toolkit

toolkit = Toolkit(["VOO", "QQQ", "SCHD", "MGK"], api_key="FINANCIAL_MODELING_PREP_KEY")

toolkit.etf.get_active_share()

Or, after setting up the Finance Toolkit MCP, ask:

How much do the holdings of VOO, QQQ, SCHD and MGK differ from each other, measured by active share?

Which returns:

	VOO	QQQ	SCHD	MGK
VOO	0	0.4508	0.9238	0.4784
QQQ	0.4508	0	0.945	0.3822
SCHD	0.9238	0.945	0	1
MGK	0.4784	0.3822	1	0

Parameters

get_active_share accepts the following parameters.

Parameter	Type	Description	Example
`rounding`	`int \| None`	The number of decimals to round the results to. Defaults to None, which uses the rounding of the Toolkit.	`2`

Active Share in Python or via the MCP

Parameters

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