<abstract xmlns="http://www.w3.org/1999/xhtml"><p>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.</p></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.

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

HOLISTICA – Journal of Business and Public Administration

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

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...

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

Published Online: Apr 13, 2020

Page range: 107 - 123

Received: Dec 01, 2018

Accepted: Feb 01, 2020

DOI: https://doi.org/10.2478/hjbpa-2020-0010

Keywords
Beta, CAPM, selectivity skills, mutual funds, coefficient, Jensen’s alpha, Sharpe, Treynor

© 2020 Nikolaos Galatis et al., published by Sciendo

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

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

Published Online: Apr 13, 2020

Page range: 107 - 123

Received: Dec 01, 2018

Accepted: Feb 01, 2020

DOI: https://doi.org/10.2478/hjbpa-2020-0010

KeywordsBeta, CAPM, selectivity skills, mutual funds, coefficient, Jensen’s alpha, Sharpe, Treynor

© 2020 Nikolaos Galatis et al., published by Sciendo

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

Keywords
Beta, CAPM, selectivity skills, mutual funds, coefficient, Jensen’s alpha, Sharpe, Treynor