|As of Date|
|Fund Name||Ticker||Active Share (%)||Benchmark Used for Active Share|
|Global Value Momentum Trend ETF||VMOT||94.80||MSCI World Index|
|U.S. Quantitative Value ETF||QVAL||96.07||S&P 500 Index|
|U.S. Quantitative Momentum ETF||QMOM||96.87||S&P 500 Index|
|International Quantitative Value ETF||IVAL||95.66||MSCI EAFE Index|
|International Quantitative Momentum ETF||IMOM||97.87||MSCI EAFE Index|
Active Share is not a performance measurement. There are no assurances that any strategy or investment approach will meet its objectives. This information should not be considered as investment advice or a recommendation of any particular security, strategy or investment product. Past performance is not indicative of future results.
Active share is the percentage of a portfolio’s stock holdings that differ from its benchmark index.1 It is based on the weightings of securities in a portfolio compared with those of its benchmark and can be used as a measure of the degree of a portfolio’s active management. For example, an 80% active share means that 80% of the fund’s holdings deviate from its benchmark (active share values over 100% are possible when there are short positions in the portfolio). Active share is one of many portfolio characteristics that can help investors during the fund selection process, but Alpha Architect cautions against focusing solely on a single data point. When an investor is selecting an active fund, other factors, such as the fund’s objective and strategy, cost, and pre- and post-tax returns over the long term, along with the investor’s personal objectives, time horizon, and risk tolerance, are of primary importance.
1 Cremers, K. J. Martijn, and Antti Petajisto, 2009, How active is your fund manager? A new measure that predicts performance, Review of Financial Studies 22, 3329-3365.
The S&P 500 Index is a capitalization-weighted index that measures the performance of the broad U.S. equity market.
The MSCI EAFE Index is a capitalization-weighted index that measures the performance of developed market equities, excluding the U.S. and Canada.
The MSCI World Index is a capitalization-weighted index that measures the performance of developed market equities.