Of course, XShares is hardly the only company working in this space: Six firms have filed papers with the SEC—Vanguard and Bear Stearns have filed prospectuses for bond funds, and Firsthand Capital, Managed ETFs, AER Advisors and now XShares have all filed applications for exemptive relief. Other groups are working on it too, including (and prominently) the AMEX. Investment News has a strong story summarizing all the filings here.

I get asked about actively managed ETFs all the time: when will they come to market, whether they be popular, etc. Here's the summary of my position.

First, no one knows when active ETFs will hit the market. We've been saying 3-6 months for the last 3-6 years. With that said, when do I think we will see the first actively managed ETF? Oh ... about 3-6 months.

Second, actively managed ETFs are a good idea ... at least compared with actively managed mutual funds. All the advantages that ETFs have over index funds ... tax efficiency, low costs, etc. ... are more important in the active space than they are in the passive arena. Compared with actively managed mutual funds, an actively managed ETF would be a no-brainer.

The only possible downside is "front-running," but the ETF developers are on the job. Moreover, as an alumnus of MetaMarkets.com, I think the whole front-running thing is a bit of a red herring.

Third, just because we can launch actively managed ETFs does NOT mean people will buy them. So far, almost every ETF that has gathered significant assets has launched into pent-up demand. Funds that have filled new asset classes or captured important segments of the market have done well; funds that have to be sold (rather than bought) have done less well. That's starting to change, but only slowly. If someone launches a new active ETF, I'm guessing it will take quite some time to attract significant assets.

Fourth, the killer app in the active ETF space is the Vanguard model of offering ETFs as a share class of existing mutual funds. If an existing fund with a strong brand and significant assets could roll out an ETF share class, I think that would do quite well. More importantly, it would allow the fund company to divest high-cost tax lots through the ETF creation/redemption process, improving the fund for all investors. Of course, Vanguard has a patent on that application, and I'm guessing they have a strong position at the licensing table.

Fifth, and most importantly: GO SOX. Dustin "Toy Cannon" Pedroia is a hero for last night, and Beckett has to be put in the pantheon of all-time-great postseason pitchers.

Jim—I'm sorry you had to live through this total collapse by your Indians. I truly am. All I can say as a long-suffering Red Sox fan is that will make the eventual victory that much sweeter.

But for now? Bring on the Rockies, baby...