文件夹
主动管理
被动管理
水准点(测量)
业务
资产(计算机安全)
索引(排版)
计量经济学
精算学
金融经济学
经济
计算机科学
财务
基金基金
项目组合管理
地理
市场流动性
万维网
管理
计算机安全
项目管理
大地测量学
作者
Kristine Beck,James Chong,Gordon Phillips
出处
期刊:The journal of wealth management
日期:2017-10-31
卷期号:20 (3): 52-63
被引量:2
标识
DOI:10.3905/jwm.2017.20.3.052
摘要
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
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