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In a previous study, Cremers showed that high active share funds beat the market on average, while low active share funds (closet indexers) do not.
In this follow-up study* he shows that, among high active share funds, only those with patient investment strategies (i.e. where stocks are held for a period of at least two years) outperform their benchmarks on average. Funds that trade frequently are found to generally underperform, regardless of the extent of their active share. This thus presents two important evidence-based criteria for manager-selection purposes: high active share and low turnover. In line with Robeco’s quant investment philosophy we limit the amount of trading for our equity strategies.
Our researchers publish many whitepapers based on their own empirical studies; they also follow quantitative research done by others. Head of Quant Equities Research David Blitz comments on notable external papers.