PT  - JOURNAL ARTICLE
AU  - Sharon Garyn-Tal
TI  - An Investment Strategy in Active ETFs
AID  - 10.3905/jii.2013.4.1.012
DP  - 2013 May 31
TA  - The Journal of Index Investing
PG  - 12--22
VI  - 4
IP  - 1
4099  - https://pm-research.com/content/4/1/12.short
4100  - https://pm-research.com/content/4/1/12.full
AB  - Previous evidence suggests that selectivity or active management positively affects mutual fund performance, hedge fund performance, and passive ETF performance. I examine whether active ETF performance is also positively affected by active management. First, I look at active ETF performance estimated via the Fama–French–Carhart four-factor model. Second, using weekly return data on 10 active ETFs for the period 2008–2012, I find an investment strategy in active ETFs that earns a positive risk-adjusted excess return, based on R2 as extracted from the regression of the ETFs’ excess return on the four-factors’ excess return.TOPICS: Exchange-traded funds and applications, mutual fund performance, passive strategies, factor-based models