Publication detail

Evaluation the Performance of Exchange Traded Funds (ETFs) Listed on the International Stock Markets

JANKOVÁ, Z. DOSKOČIL, R.

Original Title

Evaluation the Performance of Exchange Traded Funds (ETFs) Listed on the International Stock Markets

Type

journal article - other

Language

English

Original 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 abasket 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.

Keywords

Appraisal ratio; beta coefficient; ETF; exchange traded fund; Information ratio; Jensen alpha; performance; stock market; Tracking error; Treynor ratio

Authors

JANKOVÁ, Z.; DOSKOČIL, R.

Released

31. 1. 2021

Publisher

Association of Educational and Cultural Cooperation Suceava from Stefan cel Mare Universit

Location

Romain

ISBN

2344-2174

Periodical

Ecoforum

Year of study

10

Number

1

State

Romania

Pages from

1

Pages to

8

Pages count

8

URL

http://www.ecoforumjournal.ro/index.php/eco/article/view/1159

BibTex

@article{BUT168874,
  author="Zuzana {Janková} and Radek {Doskočil}",
  title="Evaluation the Performance of Exchange Traded Funds (ETFs) Listed on the International Stock Markets",
  journal="Ecoforum",
  year="2021",
  volume="10",
  number="1",
  pages="1--8",
  issn="2344-2174",
  url="http://www.ecoforumjournal.ro/index.php/eco/article/view/1159"
}