PERFORMANCE-RISK NEXUS OF GLOBAL LOW-RATED ETFS DURING THE QE-TAPERING PERIOD

Anastasiadis Panagiotis, Katsaros Efthimios and Anastasios-Taxiarchis Koutsioukis
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Anastasiadis Panagiotis: University of Thessaly, Volos, Greece
Katsaros Efthimios: University of Thessaly, Volos, Greece
Anastasios-Taxiarchis Koutsioukis: University of Thessaly, Volos, Greece

Studies in Business and Economics, 2020, vol. 15, issue 1, 194-211

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.

Keywords: ETF; CAPM; Selectivity skills; Sharpe; Treynor; QE-tapering (search for similar items in EconPapers)
Date: 2020
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