TY - JOUR T1 - The Performance of Actively Managed Exchange-Traded Funds JF - The Journal of Index Investing SP - 53 LP - 65 DO - 10.3905/jii.2011.1.4.053 VL - 1 IS - 4 AU - Gerasimos G. Rompotis Y1 - 2011/02/28 UR - https://pm-research.com/content/1/4/53.abstract N2 - Several issues concerning the performance of the U.S.-listed actively managed exchange-traded funds (ETFs) are investigated in this article. The return and risk of this new type of ETF are examined in comparison to the return and risk of the market, represented by the S&P 500 Index. The results indicate that there is no significant difference between them. A single-index regression analysis (CAPM) shows that the managers of active ETFs fail to deliver any significant excess return (alpha) with respect to the market return. This failure is also verified both by the Fama and French three-factor pricing model and the augmented Fama and French four-factor pricing model. In addition, these two models reveal the lack of any solid effect on the performance of active ETFs exerted by factors such as stock capitalization, book-to-price ratio, and momentum. A performance evaluation of ETFs and the index via the Sharpe, Sortino, and Treynor ratios follows. The results of this evaluation re-confirm the lack of any material difference between the performance of active ETFs and the market. The last topic examined concerns the timing skills of active ETF managers. Both the Treynor and Mazuy and the Henriksson and Merton models employed indicate that the managers do not possess any substantive ability to efficiently time the market.TOPICS: Exchange-traded funds and applications, mutual fund performance, portfolio construction ER -