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The performance and persistence of exchange-traded funds: evidence for iShares MSCI country-specific ETFs

The performance and persistence of exchange-traded funds: evidence for iShares MSCI country-specific ETFs

Mateus, Cesario and Kuo, Tzu-Wei (2008) The performance and persistence of exchange-traded funds: evidence for iShares MSCI country-specific ETFs. In: Swiss Society for Financial Market Research 11th Conference, 11 Apr 2008, SWX Swiss Exchange, Zürich, Switzerland. (Unpublished)

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Abstract

The aim of this paper is to investigate the performance and persistence of 20 iShares MSCI country-specific exchange-traded funds (ETFs) in comparison with S&P 500 index over the period July 2001 to June 2006. There are several studies analysing mutual funds performance in past years, but very little is known about ETFs. In our analysis the Sharpe, Treynor and Sortino ratios are used as risk-adjusted performance measures. To evaluate performance persistence and therefore if there is any relationship among past performance and future performance, we apply to the Spearman Rank Correlation Coefficient and the Winner-loser Contingency Table. The main findings are at two levels. First, ETFs can beat the U.S. market index based on risk-adjusted performance measures. Second, there is evidence of ETFs performance persistence based on annual return.

Item Type: Conference or Conference Paper (Paper)
Additional Information: Presented at Swiss Society for Financial Market Research 11th Conference. SWX Swiss Exchange, Zürich, Switzerland. 11 April 2008. Also presented at 2007 FMA European Conference, Barcelona, 30 May - 1 Jun 2007. In addition it was presented at 2007 FMA Annual Meeting, Orlando, Florida. 18-20 October 2007.
Uncontrolled Keywords: exchange-traded funds, performance evaluation
Subjects: H Social Sciences > HG Finance
Faculty / Department / Research Group: Faculty of Business > Department of Accounting & Finance
Related URLs:
Last Modified: 14 Oct 2016 09:07
Selected for GREAT 2016: None
Selected for GREAT 2017: None
Selected for GREAT 2018: None
URI: http://gala.gre.ac.uk/id/eprint/2712

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