Abstract This study investigates the performance of 50 global, one star (based on Morningstar rankings), ETFs during the US QE-tapering period starting in October 2014 up to September 2018, using the S&P500 as the market index. The methodology employed is based on the CAPM model. We adopt the Jensen’s Alpha, Beta, a / b, Sharpe and Treynor ratios measures in order to examine whether those ETFs have achieved abnormal returns. We conclude that managers of most ETFs do not exhibit selectivity skills and only six of these ETFs achieve higher returns than the market by showing bullish behavior. At the same time, most ETFs have positive Sharpe and Treynor ratios due to high expected returns during the period under scrutiny.

中文翻译：

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量化宽松期全球低评级ETF的业绩风险关联

摘要这项研究以S＆P500作为市场指数，调查了2014年10月至2018年9月在美国QE逐渐减少期间，全球50只一星（基于Morningstar排名）ETF的表现。所采用的方法基于CAPM模型。我们采用詹森的Alpha，Beta，a / b，Sharpe和Treynor比率指标，以检查这些ETF是否获得了超额收益。我们得出的结论是，大多数ETF的经理都没有表现出选择性技能，并且这些ETF中只有六种通过表现出看涨的行为获得的回报高于市场。同时，由于在审查期间的高预期收益，大多数ETF的夏普和Treynor比率为正。