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We investigate the new reality of exchange-traded funds (ETFs). We show that many ETFs are active investments in form (designed to generate alpha) or function (serve as building blocks of active portfolios). The median ETF has an Activeness Index of 93.1%. Active-in-form ETFs have positive...
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metric). VPIN is updated in volume-time, making it applicable to the high frequency world, and it does not require the …
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