Investigating Financial Performance of Low-and High-Rated ETFs During the QE-Tapering

Galatis Nikolaos (), Nitsi Ekaterini () and Theloura Chrysoula ()
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Galatis Nikolaos: Department of Economics, University of Thessaly, 28 October 78, P.C. : 38333 Volos, Greece
Nitsi Ekaterini: Department of Economics, University of Thessaly, 28 October 78, P.C. : 38333 Volos, Greece
Theloura Chrysoula: Department of Economics, University of Thessaly, 28 October 78, P.C. : 38333 Volos, Greece

HOLISTICA – Journal of Business and Public Administration, 2020, vol. 11, issue 1, 107-123

Abstract: This paper investigates the financial performance of 37 low-rated and high-rated global ETFs during QE-Tapering. Weekly data are employed that cover the period from October 27, 2014 until September 24, 2018. The estimations are based on the well-known CAPM model. The measures employed are the Sharpe and Treynor ratios as well as the Jensen’s alpha, the beta and the a/b measures. Results indicate no existence of selectivity skills neither in low- nor in high-rated ETFs. It should be noted that low-rated ETFs exhibit bearish behavior whereas high-rated ones present bullish behavior. Thereby, one can see that high-rated ETFs are better able to outperform the market during periods of normalization of monetary policy after extra easing action taking has been terminated.

Keywords: Beta; CAPM; selectivity skills; mutual funds; coefficient; Jensen’s alpha; Sharpe; Treynor (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:hjobpa:v:11:y:2020:i:1:p:107-123:n:10

DOI: 10.2478/hjbpa-2020-0010

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