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What is Measuring ETF Performance Effectively about?

This document discusses measuring the performance of exchange traded funds (ETFs). It begins by reviewing the literature on measuring active fund performance using measures like alpha. However, these tools are not well-suited for passive funds that track an index. The document proposes a new performance measure for ETFs based on a value-at-risk framework that considers performance difference, tracking error volatility, and liquidity spread. This measure is easy to calculate and can help investors evaluate E

Author

bylen

Language

EN