Performance persistence of US Equity ETFs
Year: 2025
Type: article
Abstract: • The performance persistence of 332 US-listed equity ETFs is examined over the period 2017–2024. • Performance is computed in daily and annual terms, and the Sharpe, M&M, and Information ratios. • Average performance of the ETFs examined was positive during the study period. • Based on results, prior year’s performance may be indicative of the current year’s performance. • Longer-run performance persistence is revealed too. The performance persistence of 332 US-listed equity Exchange Traded Funds (ETFs) over the period 2017–2024 is examined in this paper. Six alterative types of performance are considered, that is, the average daily return, the total annual return, the Sharpe ratio, the Modigliani and Modigliani ratio, the Information ratio, and the Martin Ratio. The empirical analysis provides quite strong evidence of performance persistence over the period under study.
Source: Finance Research Open
Author: Gerasimos G. Rompotis
Institution: National and Kapodistrian University of Athens
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $1,000
OpenAlex ID: W4410813289