| Summary: | This paper investigates the financial performance of 37 low-rated and high-rated global ETFs during QE-Tapering. Weekly data are employed that cover the period from October 27, 2014 until September 24, 2018. The estimations are based on the well-known CAPM model. The measures employed are the Sharpe and Treynor ratios as well as the Jensen’s alpha, the beta and the a/b measures. Results indicate no existence of selectivity skills neither in low- nor in high-rated ETFs. It should be noted that low-rated ETFs exhibit bearish behavior whereas high-rated ones present bullish behavior. Thereby, one can see that high-rated ETFs are better able to outperform the market during periods of normalization of monetary policy after extra easing action taking has been terminated.
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