<abstract xmlns="http://www.w3.org/1999/xhtml"><p>This study examines the performance of fifty global exchanged-traded funds (ETFs) traded on US stock exchanges. Specififcally, it refers to the period following the end of quantitative easing, which took place in 2014. Therefore, the data, on which the study is based, refer to the period from 24/10/2014 to 24/09/2018 and they are expressed in a weekly frequency. By employing the Capital Asset Pricing Model (CAPM), we evaluate the performance of fifty ETFs according to their rating by the MorningStar. Their performance was measured using Sharpe and Treynor ratios as well as Jensen’s alpha and the betas and a/b measures. The results of the study indicate that the examined ETFs show selectivity skills and present bearish behaviour in relation to the market during QE-tapering.</p></abstract>

This study examines the performance of fifty global exchanged-traded funds (ETFs) traded on US stock exchanges. Specififcally, it refers to the period following the end of quantitative easing, which took place in 2014. Therefore, the data, on which the study is based, refer to the period from 24/10/2014 to 24/09/2018 and they are expressed in a weekly frequency. By employing the Capital Asset Pricing Model (CAPM), we evaluate the performance of fifty ETFs according to their rating by the MorningStar. Their performance was measured using Sharpe and Treynor ratios as well as Jensen’s alpha and the betas and a/b measures. The results of the study indicate that the examined ETFs show selectivity skills and present bearish behaviour in relation to the market during QE-tapering.

Performance Evaluation of Global High-rated ETFs During the Taper Tantrum

Journal of Central Banking Theory and Practice

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

{"article-title":"Performance Evaluation of Global High-rated ETFs During the Taper Tantrum"}

This study examines the performance of fifty global exchanged-traded funds (ETFs) traded on US stock exchanges. Specififcally, it refers to the period...

Performance Evaluation of Global High-rated ETFs During the Taper Tantrum

Publié en ligne: 28 janv. 2020

Pages: 23 - 44

Reçu: 05 déc. 2018

Accepté: 18 févr. 2019

DOI: https://doi.org/10.2478/jcbtp-2020-0002

Mots clés
CAPM, ETFs, selectivity skills, beta, Treynor ratio, Sharpe ratio, QE-tapering

© 2019 Arampatzis Marios et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Performance Evaluation of Global High-rated ETFs During the Taper Tantrum

Publié en ligne: 28 janv. 2020

Pages: 23 - 44

Reçu: 05 déc. 2018

Accepté: 18 févr. 2019

DOI: https://doi.org/10.2478/jcbtp-2020-0002

Mots clésCAPM, ETFs, selectivity skills, beta, Treynor ratio, Sharpe ratio, QE-tapering

© 2019 Arampatzis Marios et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Mots clés
CAPM, ETFs, selectivity skills, beta, Treynor ratio, Sharpe ratio, QE-tapering