Performance Of The Leveraged And Inverse Etfs And Their Multiples
DOWNLOAD
Download Performance Of The Leveraged And Inverse Etfs And Their Multiples PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Performance Of The Leveraged And Inverse Etfs And Their Multiples book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Performance Of The Leveraged And Inverse Etfs And Their Multiples
DOWNLOAD
Author : Yi-Ting Chiang
language : en
Publisher:
Release Date : 2017
Performance Of The Leveraged And Inverse Etfs And Their Multiples written by Yi-Ting Chiang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Leveraged Exchange Traded Funds
DOWNLOAD
Author : Peter Miu
language : en
Publisher: Springer
Release Date : 2016-04-29
Leveraged Exchange Traded Funds written by Peter Miu and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-29 with Business & Economics categories.
Leveraged Exchange-Traded Funds (LETFs) are publicly-traded funds that promise to provide daily returns that are in a multiple (positive or negative) of the returns on an index. To meet that promise, the funds use leverage, which is typically obtained through derivatives such as futures contracts, forward contracts, and total-return swaps. As of the end of 2012, there were over 250 LETFs in North America with total assets of approximately $32.24 billion. While the amount of assets held by these funds is still small, their popularity continues to grow as their trading volume is significantly larger and much more dynamic than traditional, non-leveraged ETFs. This comprehensive guide to LETFs provides high-level practitioners and researchers with a detailed reference tool for navigating the market and making informed investment decisions. Written from a measured analytical perspective, Miu and Charupat use clear and concise explanations of all important aspects of LETFs, focusing on such key elements as structure, pricing, performance, regulations, taxation, and trading strategies. The first two chapters set the stage for the book by identifying exactly what LETFs are and how they are regulated. The following chapters then look to bridge theory with practice to dive deep into the mechanics, portfolio rebalancing techniques, and daily compounding effects that make investing in these funds so lucrative.
The Performance Of Leveraged And Inverse Leveraged Exchange Traded Funds
DOWNLOAD
Author : Brian J. Henderson
language : en
Publisher:
Release Date : 2014
The Performance Of Leveraged And Inverse Leveraged Exchange Traded Funds written by Brian J. Henderson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
We document significant abnormal daily returns to leveraged and inverse leveraged exchange-traded funds (ETFs). Abnormal returns are positive for leveraged funds and negative to inverse leveraged funds, and the magnitude increases in the absolute value of the leverage multiple. We propose and test a model linking the abnormal return performance to transactions costs associated with the frequent (daily) rebalancing necessary to maintain target exposures as well as other costs including the swap financing costs and the cost to borrow in the lending market. In the full cross-section, the results suggest funding costs associated with achieving leverage impact returns negatively (positively) for leveraged (inverse leveraged) funds. Capitalizing on a key institutional feature, analysis of pairs of mirror funds reveals transactions costs associated with the maintenance of daily leverage multiples meaningfully impact fund returns. The results are also consistent with inverse leveraged funds bearing the cost-to-borrow to the benefit of the leveraged (long) funds.
Quantum Fading Strategies For Leveraged And Inverse Etfs
DOWNLOAD
Author : Andreas Cseh
language : en
Publisher: Anchor Academic Publishing
Release Date : 2013-08
Quantum Fading Strategies For Leveraged And Inverse Etfs written by Andreas Cseh and has been published by Anchor Academic Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08 with Business & Economics categories.
Suppose the market is going to ‘crash’. What would you do? The most common answer would probably be: Sell what you have and get out of it. However, what if you have nothing to sell? A couple of years ago, simple investors would have said: ‘Stay on the sidelines’. The sophisticated and professionals always had plenty of avenues, such as shorting the stock, buying put options or selling naked calls. The gap was narrowed with the arrival of leveraged and inverse ETFs. These allow even novice investors to short the market in a less risky way. Traditional ETFs track an index or basket in a one-for-one approach, basically they are managed passively. In contrast, leveraged and inverse ETFs are intraday traded, and shouldn’t be confused with more-vanilla ETFs. Leveraged ETFs require active management which involves the borrowing of funds to purchase additional shares (bullish LETFs) or the short-selling (bearish LETFs) and the rebalance of the position on a daily basis. At present, most levered ETFs are either 2X, 3X, -2X, or 3X, and therefore they give investors the possibility to earn two or three times (and loose two or three times) the daily return of a simple long or short position in the index. These levered ETFs have leverage (borrowing) built into their structure, thus eliminating the need for investors to do their own borrowing (margin, futures, swaps etc.) or short-selling. But, the leveraging process is built to achieve an objective quite different from that of the simple and classical ETF.
Leveraged Etfs And Cppi Type Strategy
DOWNLOAD
Author : Philippe Bertrand
language : en
Publisher:
Release Date : 2015
Leveraged Etfs And Cppi Type Strategy written by Philippe Bertrand and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Leveraged and inverse ETFs are designed to achieve a multiple exposure (positive or negative, e.g., 2x or -2x) of some index returns on a daily basis. Recently, some controversy surrounding leveraged ETFs has appeared in the U.S. market and focused mainly on the performance results delivered by these products over extended periods of time.In France unlike in the U.S., among the first of these leveraged funds were managed with a slightly modified Constant Proportion Portfolio Insurance (CPPI) strategy. Examples include SGAM ETF Leveraged CAC 40 and SGAM ETF Bear CAC 40 launched on the 19th of October 2005 by SGAM Alternative Investment.In this paper, we will derive derive an analytical expression for the value process of a leveraged ETF analyzed as a constant allocation portfolio strategy and then analyze its properties. Then, we establish a CPPI equivalence result and give the value formula for a static leverage strategy. We then propose some comparisons between Leveraged and SGAM portfolio strategy. We first derive an analytic expression in discrete time for the SGAM portfolio value then we conduct some comparison by the mean of Monte Carlo simulations. Finally, we present an empirical study of the SGAM fund and of a CAC 40 LETF issued by Lyxor to highlight their distinct behavior and performance.
The Influences Of The Market Sentiment On Tracking Performance Of The Leveraged And Inverse Etf
DOWNLOAD
Author : Chen-fu Lee
language : en
Publisher:
Release Date : 2020
The Influences Of The Market Sentiment On Tracking Performance Of The Leveraged And Inverse Etf written by Chen-fu Lee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
This study takes Taiwan's leveraged ETF and inverse ETF as object of study to track the difference of performance under different market sentiment compared with traditional ETF. In order to objectively define the state of market sentiment, the two-section threshold autoregressive (TAR) method is used to estimate panic index, and market sentiment is divided into two states, pessimistic and optimistic, to observe the difference in tracking performance under different market sentiment. In addition, considering the occurrence of Sino-US trade war and the structural changes and impacts of the global economy, the threshold values of the two periods before and after the trade war are estimated to capture the threshold effects that vary from time to time based on the starting date of the Sino-US trade war. In view of the structural changes and impacts of the Sino-US trade war on the global economy, this paper also tests the referential value of VIX as an indicator of market sentiment response and price discovery. Secondly, different from traditional ETF which directly holds the target commodities to copy profits and losses, leverage ETF and inverse ETF build leverage by investing in derivative commodities such as futures to track holdings in the spot market and futures market. The trading system, liquidity and investors' operational needs are different, which will affect the tracking ability of ETF. Therefore, this paper uses DCC-GARCH model to detect whether there is asymmetric relationship between various ETF and the tracking target market, and incorporates the mentioned threshold differences into the model, hoping to understand the changes in tracking performance by capturing the changes in dynamic correlation coefficients. In addition, this paper also discusses the differences of correlation coefficient and tracking error between ETF and its tracking target in different major economic events, which can be used as a reference for investors to avoid risks when they expect the market to fall. The empirical results show that the poor tracking performance of leveraged ETF and inverse ETF results in an asymmetric inverse relationship between trading volume and return, and the tracking error is taken as the reference basis for investors to buy and hold ETF, which may lead to investment decision errors. After the Sino-US trade war, due to changes in economic structure, the market volatility and expectation panic has increased, worsening the tracking performance of traditional ETF and leveraged ETF. The panic index has no threshold effect after the Sino-US trade war and cannot effectively reflect the emotional state of the market. Moreover, it has no price discovery ability under high fluctuation. After taking into consideration the event factors, this paper finds that the tracking performance of traditional ETF shows significant differences and the impact of financial events on tracking errors is significantly greater than monetary policy, economic structural changes and non-financial events.
The Etfs Handbook
DOWNLOAD
Author : David Stevenson
language : en
Publisher: Harriman House Limited
Release Date : 2019-02-25
The Etfs Handbook written by David Stevenson and has been published by Harriman House Limited this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-02-25 with Business & Economics categories.
Exchange Traded Funds have revolutionised investing. Thanks to ETFs, investors now have the world at their fingertips and can invest in everything, from commodities to countries to currencies. But are investors using these funds effectively? And where do ETFs go from here? This books starts with an overview of the current wonderful world of ETFs, including an analysis of how the industry is changing for both providers and investors. Then, in a series of essays, it covers recent key developments, including: smart beta ETFs, which are preaching the gospel of factor investing, fixed income ETFs, which are making bond markets available to everyone, environmental and social governance funds, which try to humanise investing, and robo-advisors, which use ETFs to automate portfolio construction. These developments are put into context, showing why ETF sponsors are changing the rules of the game and how the many and varied investors that use ETFs are taking to them. In the final section, the book offers a series of model ETF portfolios, showing how investors can use ETFs to build effective portfolios. The book concludes with the Top101 - a subjective selection of the top ETFs across all asset classes that investors should consider when building an ETF portfolio.
Research Handbook On Shadow Banking
DOWNLOAD
Author : Iris H.-Y. Chiu
language : en
Publisher: Edward Elgar Publishing
Release Date :
Research Handbook On Shadow Banking written by Iris H.-Y. Chiu and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
Research Handbook on Shadow Banking brings together a range of international experts to discuss shadow banking activities, the purposes they serve, the risks they pose to the financial system and implications for regulators and the regulatory perimeter. Including discussions specific to the UK, European Union, US, China and Singapore, this book offers high level and theoretical perspectives on shadow banking and regulatory risks, as well as more detailed explorations of specific markets in shadow banking.
Indices Index Funds And Etfs
DOWNLOAD
Author : Michael I. C. Nwogugu
language : en
Publisher: Springer
Release Date : 2019-03-09
Indices Index Funds And Etfs written by Michael I. C. Nwogugu and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-03-09 with Business & Economics categories.
Indices, index funds and ETFs are grossly inaccurate and inefficient and affect more than €120 trillion worth of securities, debts and commodities worldwide. This book analyzes the mathematical/statistical biases, misrepresentations, recursiveness, nonlinear risk and homomorphisms inherent in equity, debt, risk-adjusted, options-based, CDS and commodity indices – and by extension, associated index funds and ETFs. The book characterizes the “Popular-Index Ecosystems,” a phenomenon that provides artificial price-support for financial instruments, and can cause systemic risk, financial instability, earnings management and inflation. The book explains why indices and strategic alliances invalidate Third-Generation Prospect Theory (PT3), related approaches and most theories of Intertemporal Asset Pricing. This book introduces three new decision models, and some new types of indices that are more efficient than existing stock/bond indices. The book explains why the Mean-Variance framework, the Put-Call Parity theorem, ICAPM/CAPM, the Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, the Information Ratio, and DEA-Based Performance Measures are wrong. Leveraged/inverse ETFs and synthetic ETFs are misleading and inaccurate and non-legislative methods that reduce index arbitrage and ETF arbitrage are introduced.
Understanding The Risk Of Investing With Etfs And Why They Still Beat Mutual Funds
DOWNLOAD
Author : Jeffrey Feldman
language : en
Publisher: Pearson Education
Release Date : 2010-09-13
Understanding The Risk Of Investing With Etfs And Why They Still Beat Mutual Funds written by Jeffrey Feldman and has been published by Pearson Education this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-09-13 with Business & Economics categories.
This is the eBook version of the printed book. This Element is an excerpt from Three Paths to Profitable Investing: Using ETFs in Healthcare, Infrastructure, and the Environment to Grow Your Assets (9780137054268) by Jeffrey Feldman and Andrew Hyman. Available in print and digital formats. Systematically evaluate the risks of ETFs, so you can use them more safely and profitably. Despite their advantages, ETFs (Exchange Traded Funds) are not risk free. No investment is. However, understanding the risks that are particular to ETFs helps investors prepare for unforeseen events and build their portfolios. The first risk to understand is index risk. ETFs are designed to match an index and are passive investments.