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

Author

Listed:
  • Arampatzis Marios

    (Department of Economics, University of Thessaly, Volos, Greece)

  • Daskalou Kalliopi

    (Department of Economics, University of Thessaly, Volos, Greece)

  • Papaioannou Evangelia

    (Department of Economics, University of Thessaly, Volos, Greece)

  • Prassa Paraskevi

    (Department of Economics, University of Thessaly, Volos, Greece)

Abstract

This study examines the performance of fifty global exchanged-traded funds (ETFs) traded on US stock exchanges. Specifically, 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.

Suggested Citation

  • Arampatzis Marios & Daskalou Kalliopi & Papaioannou Evangelia & Prassa Paraskevi, 2020. "Performance Evaluation of Global High-rated ETFs During the Taper Tantrum," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(1), pages 23-44.
    • Handle: RePEc:cbk:journl:v:9:y:2020:i:1:p:23-44
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    More about this item

    Keywords

    CAPM; ETFs; selectivity skills; beta; Treynor ratio; Sharpe ratio; QE-tapering;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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