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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