International Journal of Economics and Business Administration
Articles Information
International Journal of Economics and Business Administration, Vol.5, No.3, Sep. 2019, Pub. Date: Jul. 2, 2019
Performance Evaluation, Selectivity Skills and Aggressiveness of Global Low-Rated ETFs Managers
Pages: 1-9 Views: 49 Downloads: 32
[01] Rafaela Kyrkou, Department of Economics, University of Thessaly, Volos, Greece.
[02] Eftychia Saiti, Department of Economics, University of Thessaly, Volos, Greece.
The present study conducts an empirical investigation concerning twenty-five exchange traded funds (ETFs) that are rated as one star (*) according to the Morning star rating service, have a global character and are traded in the U.S.A. Weekly data are employed that cover the QE-tapering period, from October 27, 2014 until September 24, 2018. The capital asset pricing model (CAPM) is adopted and the measures of Sharpe Ratio and Treynor Ratio as well as the Jensen’s alpha and the Betas are used. We look into whether managers of modern forms of mutual funds demonstrate managerial skills and to what extent they prefer aggressive behaviour in relation to the market in times of monetary policy normalization. In the majority of ETFs we observe low performance with high risk. Half of ETFs in the sample follow a bearish behaviour whereas the other half follow a bullish behavior. The latter were less numerous during the period of QE-tapering, that is during normalization times in monetary policy where interest rates were higher than the Zero Lower Bound. In other words, econometric findings indicate that the managers of these low-rated ETFs do not exhibit selectivity skills during the QE-tapering period and that most of these ETFs do not reveal aggressive behaviour in relation to the market. This study is differentiated from previous academic work in that it examines low-rated global ETFs during the period of QE-tapering, that is the normalization of monetary policy.
Exchange Traded Funds, Sharpe Ratio, Treynor Ratio, CAPM, Jensen’s Alpha, QE-tapering
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