EVALUATION THE PERFORMANCE OF EXCHANGE TRADED FUNDS (ETFs) LISTED ON THE INTERNATIONAL STOCK MARKETS
EVALUATION THE PERFORMANCE OF EXCHANGE TRADED FUNDS (ETFs) LISTED ON THE INTERNATIONAL STOCK MARKETS
Author(s): Zuzana Janková, Radek DoskočilSubject(s): Business Economy / Management, International relations/trade, Financial Markets
Published by: Asociaţia de Cooperare Cultural-Educaţională Suceava
Keywords: Appraisal ratio; beta coefficient; ETF; exchange traded fund; Information ratio; Jensen alpha; performance; stock market; Tracking error; Treynor ratio;
Summary/Abstract: Exchange traded funds (ETFs) are one of the most popular and fastest growing classes of financial assets available in today's markets. Due to the significant increase in popularity, ETFs allow investors to diversify their portfolios through a basket of assets from different countries that are traded on international stock markets. The aim of this study is to analyze the performance of ETFs on different continents. The sample in this research is 40 ETFs listed on the stock exchanges in the USA, Europe, Asia-Pacific and Emerging markets. The monitoring period is 2015 to 2019. Standard indicators such as Tracking error, Jensen alpha, Treynor ratio, Appraisal ratio, Information ratio are used to evaluate ETFs performance. The results of this research showed that ETFs from the USA show the best performance, according to the selected measurement methods. The Treynor ratio has also been shown to be skewed, as ETFs with identical systemic risk but different overall risk are not quantified correctly.
Journal: Ecoforum
- Issue Year: 10/2021
- Issue No: 1
- Page Range: 0-0
- Page Count: 8
- Language: English
