TY - JOUR T1 - Another Use for Active Share—<em>Understanding Portfolio Exposures</em> JF - The Journal of Investing DO - 10.3905/joi.2020.1.149 SP - joi.2020.1.149 AU - Simon Elimelakh AU - Barry Gillman AU - Geoffrey J. Warren Y1 - 2020/08/17 UR - https://pm-research.com/content/early/2020/08/17/joi.2020.1.149.abstract N2 - We show how active share can be decomposed into segment and stock-specific exposures to create an active share risk profile. The method is demonstrated for global equity portfolios by attributing active share into contributions from country, sector, stock-specific, and non-equity positions within portfolios. Active share risk profiles can be used to identify the underlying sources of benchmark-relative risk within a portfolio both for a point in time and over time, and to compare the exposures in a portfolio relative to competitors. The method is straightforward to implement and may form a useful part of the toolkit for understanding benchmark-relative risk exposures within actively managed portfolios.TOPICS: Equity portfolio management, global marketsKey Findings• Active share can be decomposed into an active share risk profile to help understand the underlying segment and stock-specific risk exposures within a portfolio.• Active share risk profiles are generated for global equity portfolios based around contributions from country, sector, stock-specific and non-index exposures. Sources of benchmark-relative risk are isolated at a point in time and over time and comparisons made between portfolios.• Active share risk profile is straightforward to implement and can form part of the toolkit for understanding how active portfolios invest and what risk exposures they hold. ER -