Performance evaluation of exchange-traded funds in the US

Arunas Mockus
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Arunas Mockus: Vilnius University

Transformations and Sustainability, 2025, vol. 1, issue 2, 132-149

Abstract: This study investigates the performance of the largest U.S.-domiciled exchange-traded funds (ETFs) focused on large-cap equities by assets under management (AUM), covering the period from 2010 to 2024. ETFs play a central role in modern investing, offering low-cost, diversified, and liquid access to broad market exposures. While previous research has examined various ETF categories, this paper concentrates on the core group of top equity ETFs that dominate investor portfolios. Using a set of well-established performance metrics—total return, average annual return, standard deviation, alpha, beta, Sharpe ratio, and Treynor ratio—the analysis assesses both absolute and risk-adjusted performance across eight ETFs. The results reveal notable differences in return generation and risk efficiency, even among funds with similar investment styles. Growth-oriented ETFs generally delivered higher returns but also exhibited greater volatility, while more conservative or value-focused ETFs showed mixed outcomes. The ranking model applied in this study helps clarify which ETFs achieved superior overall performance based on a balanced evaluation of return and risk. The findings highlight the importance of multi-metric analysis when selecting ETFs for long-term investment strategies.

Keywords: exchange-traded funds; performance; risk-adjusted return; Sharpe ratio; Treynor ratio; alpha; beta; assets under management; ranking; large-cap equities (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:dbj:trasus:v:1:y:2025:i:2:p:132-149

DOI: 10.63775/1xwx6s13

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