Research Highlights

This paper extends our previous research, starts with revisiting a two-dimensional framework for measuring active management using active shares and tracking errors. The limitations of the traditional framework are discussed and a new dimension, the pure alpha estimate, is introduced to improve it. The pure alpha opportunity of FCF US Quality ETF (TTAC) in 2022 is analyzed through regression and holding-based methods. A three-dimensional framework for active manager evaluation is proposed, and a case study of US Large Blend Funds is conducted to demonstrate the evaluation process of active manager.

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