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Solving the Return Deviation Conundrum of Leveraged Exchange-Traded Funds

The large deviation of the actual return of a Leveraged Exchange-Traded Fund (LETF) from the leveraged multiple of the underlying index return has drawn considerable attention from investors, regulators, and the financial media. Despite this attention, the sources and fundamental determinants of the LETF return deviation remain unidentified. This study constructs a clear, unified, objective, and executable framework that addresses the behaviors, sources, and determinants of the LETF compounding and non-compounding deviations. Our theoretical predictions and empirical results hold the promise of guiding investors, regulators, financial advisors, and portfolio managers toward a thorough understanding of the return behavior of LETFs..Printed Journal

Ketersediaan

Call NumberLocationAvailable
JFQA4801PSB lt.dasar - Pascasarjana1
Penerbit Cambridge Cambridge University Press.,
Edisi -
Subjek Non
Leveraged ETFs
Return Deviation
Compounding Effect
Tracking Error
Market Inefficiency
ISBN/ISSN -
Klasifikasi -
Deskripsi Fisik -
Info Detail Spesifik -
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