<abstract xmlns="http://www.w3.org/1999/xhtml"><p>This study investigates the performance of 50 global, one star (based on Morningstar rankings), ETFs during the US QE-tapering period starting in October 2014 up to September 2018, using the S&amp;P500 as the market index. The methodology employed is based on the CAPM model. We adopt the Jensen’s Alpha, Beta, a / b, Sharpe and Treynor ratios measures in order to examine whether those ETFs have achieved abnormal returns. We conclude that managers of most ETFs do not exhibit selectivity skills and only six of these ETFs achieve higher returns than the market by showing bullish behavior. At the same time, most ETFs have positive Sharpe and Treynor ratios due to high expected returns during the period under scrutiny.</p></abstract>

This study investigates the performance of 50 global, one star (based on Morningstar rankings), ETFs during the US QE-tapering period starting in October 2014 up to September 2018, using the S&P500 as the market index. The methodology employed is based on the CAPM model. We adopt the Jensen’s Alpha, Beta, a / b, Sharpe and Treynor ratios measures in order to examine whether those ETFs have achieved abnormal returns. We conclude that managers of most ETFs do not exhibit selectivity skills and only six of these ETFs achieve higher returns than the market by showing bullish behavior. At the same time, most ETFs have positive Sharpe and Treynor ratios due to high expected returns during the period under scrutiny.

Performance-Risk Nexus of Global Low-Rated ETFs During the QE-Tapering Period

Studies in Business and Economics

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

{"article-title":"Performance-Risk Nexus of Global Low-Rated ETFs During the QE-Tapering Period"}

This study investigates the performance of 50 global, one star (based on Morningstar rankings), ETFs during the US QE-tapering period starting in October 2014...

Performance-Risk Nexus of Global Low-Rated ETFs During the QE-Tapering Period

Online veröffentlicht: 20. Mai 2020

Seitenbereich: 194 - 211

DOI: https://doi.org/10.2478/sbe-2020-0015

Schlüsselwörter
ETF, CAPM, Selectivity skills, Sharpe, Treynor, QE-tapering

© 2020 Panagiotis Anastasiadis et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Performance-Risk Nexus of Global Low-Rated ETFs During the QE-Tapering Period

Online veröffentlicht: 20. Mai 2020

Seitenbereich: 194 - 211

DOI: https://doi.org/10.2478/sbe-2020-0015

SchlüsselwörterETF, CAPM, Selectivity skills, Sharpe, Treynor, QE-tapering

© 2020 Panagiotis Anastasiadis et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Schlüsselwörter
ETF, CAPM, Selectivity skills, Sharpe, Treynor, QE-tapering