The Role of an Active Portfolio in the Exchange Traded Funds Era: Understanding Outperformance and Underperformance with the Jensen's Alpha Model

Abstract

This research aims to analyze the role of active portfolios in the Exchange Traded era Funds (ETFs) and to understand the outperformance and underperformance phenomena that may occur in this context. In the era of ETFs, investors have easier access to a variety of investment portfolios that cover a variety of assets and investment strategies. Therefore, it is important to understand how active portfolios perform in this environment. The research method used in this research is the use of Jensen's model Alpha, which is used to measure portfolio performance by taking into account systematic risk factors. Stock price data, ETFs, and market indices will be analyzed to identify outperformance (above average performance) and underperformance (below average performance) of active portfolios. It is hoped that the results of this research will provide a deeper understanding of the extent to which active portfolios are able to outperform market indices in the era of ETFs. In addition, this research can help investors and fund managers make smarter and more effective investment decisions in an ever-evolving investment environment. It is hoped that this research will make an important contribution to the understanding of investment strategies in the era of ETFs, as well as provide valuable insight for investors and financial professionals interested in active portfolios.