Performance of Exchange-Traded Funds in Europe: Beta-Performance Ratio

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Author(s): Maria Elisabete Duarte Neves (ISCAC, Polytechnic of Coimbra, Coimbra Business School, Portugal & University of Trás-os-Montes and Alto Douro, Portugal), Jeremias Amado Conceição (ISCAC, Polytechnic of Coimbra, Coimbra Business School, Portugal)and Vargas Bonfim Montenegro (ISCAC, Polytechnic of Coimbra, Coimbra Business School, Portugal)
Copyright: 2021
Pages: 15
Source title: Handbook of Research on Financial Management During Economic Downturn and Recovery
Source Author(s)/Editor(s): Nuno Miguel Teixeira (Center for Research in Business and Administration, School of Business Sciences, Polytechnic Institute of Setúbal, Portugal)and Inês Lisboa (CARME, School of Management and Technology, Polytechnic of Leiria, Portugal)
DOI: 10.4018/978-1-7998-6643-5.ch021

Keywords: Accounting and Finance / Business & Management / Business Science Reference / Economics & Economic Theory

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Abstract

In this study, the authors analyzed the performance of the exchange traded funds (ETFs) of the European iShares family, using risk-adjusted performance measures: Sharpe index, Treynor index, Sortino index, and Jensen's alpha. They also checked the beta-performance ratio and conjectured that ETFs with the highest betas are the ones that perform best. From the results obtained, they conclude that all ETFs had an average return lower than that of the respective benchmark. Using the Sharpe index, they found that no ETF performed better than its benchmark. As for the Treynor index, two ETFs, namely Belgium and Switzerland, performed better than the respective benchmark. As with the Sharpe index, for the Sortino index, no ETF exceeded its benchmark. As for the beta-performance relationship, the results indicated the existence of the low-risk anomaly.

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Performance of Exchange-Traded Funds in Europe: Beta-Performance Ratio

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