Performance and Performance Persistence of Europe-Focused ETFs in the United States

Abstract

This study examines the performance and performance persistence of US-listed exchange-traded funds (ETFs) that are focused on the European capital markets. Performance is estimated in several ways—raw returns, alphas from single-factor and multifactor regression models, and risk-adjusted returns. The sample includes 43 ETFs, and the study period spans from January 1, 2015, to December 31, 2022. The results reveal that, on average, the examined ETFs cannot beat the S&P 500 Index and STOXX Europe 600 Index, which serve as proxies for the US and European stock markets, respectively. In addition, the results show that the performance of the Europe-focused ETFs does not persist.