NEW YORK - Here's one that should keep you up at night. The Securities and Exchange Commission is known to approve of Exchange Traded Funds, or ETFs, because they have transparent portfolio holdings, which gels nicely with the commission's agenda to get mutual funds to disclose the contents of their stock portfolios more often. Naturally, ETFs achieve this transparency because they are based on indexes, such as the Nasdaq 100 or the S&P 500.

But how would you build an actively managed ETF, in other words, an ETF that is not based on an index, and still meet the SEC's preference for transparent portfolio holdings?

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