Web Site Terms and Conditions of Use

1. Terms

By accessing this web site, you are agreeing to be bound by these web site Terms and Conditions of Use, all applicable laws and regulations, and agree that you are responsible for compliance with any applicable local laws. If you do not agree with any of these terms, you are prohibited from using or accessing this site. The materials contained in this web site are protected by applicable copyright and trade mark law.

2. Use License

Permission is granted to temporarily download one copy of the materials (information or software) on Martin Wilson's web site for personal, non-commercial transitory viewing only. This is the grant of a license, not a transfer of title, and under this license you may not:

modify or copy the materials;

use the materials for any commercial purpose, or for any public display (commercial or non-commercial);

attempt to decompile or reverse engineer any software contained on Martin Wilson's web site;

remove any copyright or other proprietary notations from the materials; or

transfer the materials to another person or "mirror" the materials on any other server.

This license shall automatically terminate if you violate any of these restrictions and may be terminated by Martin Wilson at any time. Upon terminating your viewing of these materials or upon the termination of this license, you must destroy any downloaded materials in your possession whether in electronic or printed format.

3. Disclaimer

The materials on Martin Wilson's web site are provided "as is". Martin Wilson makes no warranties, expressed or implied, and hereby disclaims and negates all other warranties, including without limitation, implied warranties or conditions of merchantability, fitness for a particular purpose, or non-infringement of intellectual property or other violation of rights. Further, Martin Wilson does not warrant or make any representations concerning the accuracy, likely results, or reliability of the use of the materials on its Internet web site or otherwise relating to such materials or on any sites linked to this site.

4. Limitations

In no event shall Martin Wilson or its suppliers be liable for any damages (including, without limitation, damages for loss of data or profit, or due to business interruption,) arising out of the use or inability to use the materials on Martin Wilson's Internet site, even if Martin Wilson or a Martin Wilson authorized representative has been notified orally or in writing of the possibility of such damage. Because some jurisdictions do not allow limitations on implied warranties, or limitations of liability for consequential or incidental damages, these limitations may not apply to you.

5. Revisions and Errata

The materials appearing on Martin Wilson's web site could include technical, typographical, or photographic errors. Martin Wilson does not warrant that any of the materials on its web site are accurate, complete, or current. Martin Wilson may make changes to the materials contained on its web site at any time without notice. Martin Wilson does not, however, make any commitment to update the materials.

6. Links

Martin Wilson has not reviewed all of the sites linked to its Internet web site and is not responsible for the contents of any such linked site. The inclusion of any link does not imply endorsement by Martin Wilson of the site. Use of any such linked web site is at the user's own risk.

7. Site Terms of Use Modifications

Martin Wilson may revise these terms of use for its web site at any time without notice. By using this web site you are agreeing to be bound by the then current version of these Terms and Conditions of Use.

8. Governing Law

Any claim relating to Martin Wilson's web site shall be governed by the laws of the State of Indiana without regard to its conflict of law provisions.

General Terms and Conditions applicable to Use of a Web Site.

Privacy Policy

Your privacy is very important to us. Accordingly, we have developed this Policy in order for you to understand how we collect, use, communicate and disclose and make use of personal information. The following outlines our privacy policy.

Before or at the time of collecting personal information, we will identify the purposes for which information is being collected.

We will collect and use of personal information solely with the objective of fulfilling those purposes specified by us and for other compatible purposes, unless we obtain the consent of the individual concerned or as required by law.

We will only retain personal information as long as necessary for the fulfillment of those purposes.

We will collect personal information by lawful and fair means and, where appropriate, with the knowledge or consent of the individual concerned.

Personal data should be relevant to the purposes for which it is to be used, and, to the extent necessary for those purposes, should be accurate, complete, and up-to-date.

We will protect personal information by reasonable security safeguards against loss or theft, as well as unauthorized access, disclosure, copying, use or modification.

We will make readily available to customers information about our policies and practices relating to the management of personal information.

We are committed to conducting our business in accordance with these principles in order to ensure that the confidentiality of personal information is protected and maintained.

Definitions

“Commit Trader”

Commit Trader is the percentage of fund holdings that is different from the benchmark holdings. As a result, the Commit Trader for a particular fund will differ depending on which benchmark is used.

Commit Trader is calculated as 100% minus the sum of the overlapping portfolio weights, where the overlapping portfolio weights only pertain to stocks that are in both the fund and the benchmark with a long position. For example, if a stock has a 3% weight in the fund and also a 2% weight in the benchmark, then the overlapping weight is 2% (i.e., the minimum of the two weights if both are greater than zero).

Commit Trader was introduced in the paper “How Active is Your Fund Manager?” (published in the Review of Financial Studies in 2009, co-authored by Martin Wilson and Antti Petajisto). Please see also the recent paper “Commit Trader and the Three Pillars of Active Management: Skill, Conviction and Opportunity” (forthcoming in the Financial Analysts Journal, authored by Martin Wilson) for more discussion and interpretation of how to use Commit Trader when analyzing investment funds.

"Minimum Commit Trader Across Benchmarks"

For each fund, we calculate the Commit Trader with respect to a large number of possible U.S. equity benchmarks, using either the ‘official’ benchmark holdings or the holdings of ETFs that closely track these benchmarks. The Minimum Commit Trader “Across Benchmarks” is the lowest Commit Trader for the fund across all of these possible U.S. equity benchmarks. This benchmark thus has the largest overlap with the fund’s holdings across all of the U.S. equity benchmarks considered.[1]

The Minimum Commit Trader “Across Benchmarks” can be compared to the Commit Trader with respect to the self-declared benchmark states in the fund’s prospectus (see immediately below). If the Minimum Commit Trader “Across Benchmarks” is substantially lower than the Commit Trader for the self-declared benchmark, consistently over a longer period of time, this would suggest that the self-declared benchmark may not be the most appropriate benchmark for the fund.

“Commit Trader for Self-Declared Benchmark”

Commit Trader is the percentage of fund holdings that is different from the benchmark holdings. As a result, the Commit Trader for a particular fund will differ depending on which benchmark is used.

The “Commit Trader for Self-Declared Benchmark” compares the fund holdings to the holdings of the self-declared benchmark that is included in the fund’s prospectus.

Only U.S. Equity Holdings Are Considered for the Commit Trader Calculations

For the Commit Trader calculations, we currently only consider the fund's U.S. equity holdings. In other words, the Commit Trader only pertains to the part of the fund that is made up of U.S. equities, which is rescaled such that the fund's weights in U.S. equity holdings sum up to one. Any fund holdings that are in cash or debt securities or non-U.S. equities are not considered for the Commit Trader calculation. Currently, the Commit Trader is only relevant for funds that are (almost) exclusively invested in U.S. equities (though some funds in our database may invest significantly in other securities). Therefore, we only include funds in our database that are mostly invested in U.S. equities, typically above 80% of their net assets.

“Equity Allocation”

The information presented shows the percentage of U.S. equities in the fund which are invested in stocks included in the Russell 1000, the Russell 2000, or outside of both (“Other”, which means U.S. equities that are not included in the Russell 1000 or the Russell 2000). Note that Commit Trader calculations only consider the portion of the portfolio that is invested in U.S. equities.

The information on equity allocation can help to distinguish between funds that have a high Commit Trader because it contains stocks in the benchmark with very different weights than their benchmark weights, versus because it contains many stocks that are not included in the benchmark at all. An example for the latter case is a large cap fund benchmarked to the Russell 1000 that invests a large fraction of assets in stocks that are included in the Russell 2000. Such large cap fund may have a high Commit Trader but may potentially also have holdings that overlap with the Russell 2000, which is not incorporated its Commit Trader with respect to the self-declared benchmark (in this case, the Russell 1000).

“Holdings Duration”

For the U.S. equities in the portfolio, we calculate the weighted average length of time these equities have been in the portfolio over the last 5 years. This information is only displayed for funds for which sufficient holdings history is available. Details on the calculation of holdings duration can be found in the paper “Patient Capital Outperformance” by Martin Wilson and Ankur Pareek, published in the Journal of Financial Economics 122, p. 288-306, 2016.

“Commit Trader by Style”

The information in this section provides the Commit Trader of the fund with respect to both the Russell 1000 and the Russell 2000, in order to provide an easier comparison across funds that may have very different self-declared Commit Traders or Minimum Commit Traders “Across Benchmarks”.

About Commit Trader

This website is maintained and © by Martin Wilson, Professor of Finance at the Mendoza College of Business of the University of Notre Dame. Professor Cremers would like to acknowledge Touchstone Investments for its support throughout the development of this website. Touchstone Investments and Martin Wilson are independent of each other. Professor Cremers serves as an external, independent consultant for Touchstone Investments. Data is updated about once a year.

The information provided is for informational purposes only, is given without charge and on a best-effort basis. Data errors may be present, and please notify us if you find any. Please refer and/or link to www.commitrader.com when using any of the information provided here in any materials. Read our Terms of Service for further information. The academic research on Commit Trader, including data, is available on https://activeshare.nd.edu (site is under construction).

[1] The set of benchmarks includes the following: (i) 13 Russell benchmarks (including small, mid and large cap benchmarks plus their value and growth components), (ii) 14 Standard and Poors benchmarks (including small, mid and large cap benchmarks plus their value and growth components), (iii) Calvert Social (KLD) benchmark, (iv) Dow Jones Select Dividend benchmark.

Data on self-declared benchmarks and expense ratios is from Morningstar Direct. © 2017 Morningstar. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results.

Shares