The Performance Of Leveraged And Inverse Leveraged Exchange Traded Funds
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The Performance Of Leveraged And Inverse Leveraged Exchange Traded Funds
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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.
Leveraged Exchange Traded Funds
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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.
A Guide To Exchange Traded Funds And Indexing Innovations
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Author :
language : en
Publisher:
Release Date : 2009
A Guide To Exchange Traded Funds And Indexing Innovations written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Exchange traded funds categories.
Performance Of The Leveraged And Inverse Etfs And Their Multiples
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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.
Quantum Fading Strategies For Leveraged And Inverse Etfs
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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 Funds
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Author : Paolo Guasoni
language : en
Publisher:
Release Date : 2019
Leveraged Funds written by Paolo Guasoni and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Leveraged and inverse exchange-traded funds seek daily returns equal to fixed multiples of indexes' returns. Trading costs implied by frequent adjustments of funds' portfolios create a tension between tracking error, reflecting short-term correlation with the index, and excess return, the long-term deviation from the leveraged index' performance. With proportional costs, the optimal replication policy is robust to the index' dynamics. Overall fund performance is summarized by the implied spread, the product of tracking error and excess return, rescaled for leverage and volatility. The implied spread is insensitive to risk-premia and enables comparisons of funds tracking different factors of an index.
Are Concerns About Leveraged Etfs Overblown
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Author : Federal Reserve Federal Reserve Board
language : en
Publisher:
Release Date : 2016-04-06
Are Concerns About Leveraged Etfs Overblown written by Federal Reserve Federal Reserve Board and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-06 with categories.
Leveraged and inverse exchange-traded funds seek to track a multiple of the performance of an underlying index, commodity, currency, or some other benchmark over a specified time frame, which is usually one day. These products have been heavily criticized based on the belief that they exacerbate volatility in financial markets. Commentators have referred to them as "weapons of mass destruction" and claim that they pose "serious threats to market stability" because they "have turned the market into a casino on steroids." Others have claimed that leveraged ETFs "could send volatility through the roof, and prices through the floor." It appears as though policy makers are also concerned about these products, as the Securities and Exchange Commission has issued a moratorium on approving excemtive requests for new leveraged and inverse ETFs.
Leveraged Exchange Traded Funds
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Author : Narat Charupat
language : en
Publisher:
Release Date : 2016
Leveraged Exchange Traded Funds written by Narat Charupat and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Leveraged Exchange Traded Funds
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Author : Peter Miu
language : en
Publisher: Palgrave Macmillan
Release Date : 2016-01-05
Leveraged Exchange Traded Funds written by Peter Miu and has been published by Palgrave Macmillan this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-01-05 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.
Leveraged Exchange Traded Funds
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Author : Tim Leung
language : en
Publisher: Springer
Release Date : 2016-02-24
Leveraged Exchange Traded Funds written by Tim Leung and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-02-24 with Mathematics categories.
This book provides an analysis, under both discrete-time and continuous-time frameworks, on the price dynamics of leveraged exchange-traded funds (LETFs), with emphasis on the roles of leverage ratio, realized volatility, investment horizon, and tracking errors. This study provides new insights on the risks associated with LETFs. It also leads to the discussion of new risk management concepts, such as admissible leverage ratios and admissible risk horizon, as well as the mathematical and empirical analyses of several trading strategies, including static portfolios, pairs trading, and stop-loss strategies involving ETFs and LETFs. The final part of the book addresses the pricing of options written on LETFs. Since different LETFs are designed to track the same reference index, these funds and their associated options share very similar sources of randomness. The authors provide a no-arbitrage pricing approach that consistently value options on LETFs with different leverage ratios with stochastic volatility and jumps in the reference index. Their results are useful for market making of these options, and for identifying price discrepancies across the LETF options markets. As the market of leveraged exchange-traded products become a sizeable connected part of the financial market, it is crucial to better understand its feedback effect and broader market impact. This is important not only for individual and institutional investors, but also for regulators.