PT - JOURNAL ARTICLE AU - Kristine L. Beck AU - James Chong AU - G. Michael Phillips TI - Risk-Adjusted Performance of the Largest Active ETFs AID - 10.3905/jwm.2017.20.3.052 DP - 2017 Oct 31 TA - The Journal of Wealth Management PG - 52--63 VI - 20 IP - 3 4099 - https://pm-research.com/content/20/3/52.short 4100 - https://pm-research.com/content/20/3/52.full AB - This study examines the performance of the 10 largest active exchange-traded funds. Using Jensen’s alpha, 50% of the largest active ETFs underperform their passive benchmarks, for both default and specific indexes. This implies that active ETFs are not appropriate as stand-alone investments. On the other hand, as part of a portfolio consisting of an active ETF, a benchmark index, and a risk-free asset, active ETFs play an integral role in the outperformance of the portfolio over the benchmark. This suggests that, for the purposes of enhanced risk-adjusted performance, active ETFs are better suited in a portfolio setting.TOPICS: Exchange-traded funds and applications, performance measurement