Performance Evaluation of Global High-rated ETFs During the Taper Tantrum

Marios, Arampatzis; Daskalou, Kalliopi; Evangelia, Papaioannou; Prassa, Paraskevi

doi:10.2478/jcbtp-2020-0002

Cited by 2 publications

(4 citation statements)

References 37 publications

(26 reference statements)

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“…[8] -Growing interest in ETFs' investment performance evaluation. [9] [10] -ETF's investment style, -size, and other investment characteristics performance evaluation research topics growing interest. [11] [12] -Possibility to draw certain conclusions based on the mutual funds' long track record for various investment styles, sizes, and other investment characteristics.…”

Section: Literature Reviewmentioning

confidence: 99%

“…[8] ETFs' investment performance evaluation draws the attention of the academic community. Arampatzis et al [9] performed a study that examined the performance of fifty global ETFs traded on US stock exchanges. The specific time frame for the analysis was the period following the end of quantitative easing in 2014 to mid-2018, with data recorded on a weekly basis.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The results indicated that the ETFs demonstrated selection skills and exhibited bearish behavior in relation to the market during the period of quantitative easing tapering. [9] In our research, we expand this approach further, by using three-and five-factor models, as well as additional investment performance appraisal measures. The reason behind it is the potential higher explanatory power of additional factors.…”

Section: Literature Reviewmentioning

confidence: 99%

See 2 more Smart Citations

Understanding the dynamics of investment factors and exchange-traded funds performance in the U.S. market 2018-2022

Korenak,

Stakić,

Vesić

2023

International Review

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The increasing popularity of exchange-traded funds (ETFs) among retail and professional investors necessitates a deeper understanding of their value-creation process. Recognizing inconsistencies between stated investment strategies and portfolio exposures is crucial for appropriate rebalancing in accordance with investment policy statements. Against the backdrop of evolving investment factors during the pandemic and changing geopolitical circumstances, the performance of ETFs has undergone significant shifts. Analyzing the directional changes of prevailing investment factors within specific macro environments is essential for optimizing portfolios composed out of ETFs. This study has a dual objective: firstly, to comprehend the dominant investment factors and their dynamics in the U.S. market, and secondly, to evaluate the performance of ETFs that adhere to specific investment philosophies and strategies. To achieve these objectives, the Fama-French three and five-factor models were employed to analyze a dataset comprising 72 U.S. ETFs. These ETFs were then categorized into four portfolios based on investment style and size. Performance appraisal measures were utilized to compare portfolios on a risk-adjusted basis relative to the benchmark. The bear market that commenced in early 2022 had a universally negative impact on observed ETFs due to their longonly exposures. This inflection point also marked a shift in the relative performance between value and growth styles, as well as the outperformance of more conservative investing approaches, underscoring the importance of adapting to changing market conditions. Additionally, the absence of a size premium throughout the observed period confirms investors' preference for large-cap stocks as a resilient factor. Furthermore, the size effect exerted a universal negative influence due to the size drift of ETFs employing a stated large-size investment strategy. During the observed period, the value style experienced a significant recovery, characterized by higher book-to-price ratios, operating profits, and more conservative investment policies that produced superior results compared to the previous longer period. The findings of this research enhance our understanding of the influence of investment factors on U.S. ETF performance, providing valuable insights for investors and portfolio managers who may need to adjust their strategies in response to observed changes in market dynamics.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

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Understanding the dynamics of investment factors and exchange-traded funds performance in the U.S. market 2018-2022

Korenak,

Stakić,

Vesić

2023

International Review

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“…Through this policy, it is expected that there will be a stimulus of people's economic activities. Quantitative easing (QE) policy is used to overcome recessions or economic crises caused by events such as natural disasters, pandemics, wars, or political tragedies in a country (Cochrane, 2020;Dutkowsky & VanHoose, 2020;Evgenidis & Papadamou, 2020;Marios et al, 2020;Masoud et al, 2020).…”

Section: Implementation Of Quantitative Easing (Qe)mentioning

confidence: 99%

Quantitative Easing In Overcoming the Crisis: Criticism ofQeinthe Monetary System Of Capitalism

Et.al¹

2021

TURCOMAT

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This study aims to describe the form of Quantitative Easing applied by the Central Bank as well as qualitatively measure its benefits and excesses. To obtain a description and know the benefits and excesses in question, the research approach uses a qualitative approach by conducting a literature study of several facts and quantitative easing studies by Bank Indonesia and the Fed from various literature and media inductively relevant theories. This study's findings show that excesses can be detrimental to society, and countries that are shariah are harmful that should be avoided. This research is expected to encourage further research to determine the correlation of Quantitative Easing policy to the resolution of economic crisis and obtain alternative solutions by implementing the Islamic monetary system. The impact of the covid-19 pandemic that continues to this day causes economic shock, the slowing flow of goods commodities, decreased production, and decreased purchasing power of the community. Various policy efforts are carried out through fiscal stimulus as well as support through monetary policy in the form of quantitative easing.

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Performance Evaluation of Global High-rated ETFs During the Taper Tantrum

Cited by 2 publications

References 37 publications

Understanding the dynamics of investment factors and exchange-traded funds performance in the U.S. market 2018-2022

Understanding the dynamics of investment factors and exchange-traded funds performance in the U.S. market 2018-2022

Quantitative Easing In Overcoming the Crisis: Criticism ofQeinthe Monetary System Of Capitalism

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