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

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26510%2F21%3APU139153" target="_blank" >RIV/00216305:26510/21:PU139153 - isvavai.cz</a>
Result on the web
<a href="http://www.ecoforumjournal.ro/index.php/eco/article/view/1159" target="_blank" >http://www.ecoforumjournal.ro/index.php/eco/article/view/1159</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Evaluation the Performance of Exchange Traded Funds (ETFs) Listed on the International Stock Markets
Original language description
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.
Czech name
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Czech description
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Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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