RT Journal Article
SR Electronic
T1 Risk-Adjusted Performance of the Largest Active ETFs
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 52
OP 63
DO 10.3905/jwm.2017.20.3.052
VO 20
IS 3
A1 Kristine L. Beck
A1 James Chong
A1 G. Michael Phillips
YR 2017
UL https://pm-research.com/content/20/3/52.abstract
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