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Tracking Errors and Long-Run Performance of Leveraged ETFs

机译:跟踪杠杆ETF的错误和长期表现

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摘要

Leveraged exchange-traded funds (ETFs) are relatively new to the world of investments but have become increasingly popular to aggressive investors. While a regular ETF tracks the value of a specific index of stocks, a leveraged ETF attempts to achieve a multiple of the return of the underlying index on a daily basis. This multiple can be positive in the case of bull ETFs or negative in the case of bear (or inverse) ETFs. To accomplish these objectives, leveraged and inverse funds pursue a range of investment strategies through the use of swaps, futures contracts, options and other derivative instruments. Due to the effect of compounding, operating expenses and daily resets, not to mention tracking errors, the performance of leveraged funds over longer periods of time can differ substantially from the performance (or inverse of the performance) of their underlying index or benchmark during the same period of time. Such performance deviations are often quite meaningful and unexpected over the long run. This paper provides an empirical assessment of how well the leveraged ETFs track their underlying index. The results show that the tracking errors on average are small. However, substantial tracking errors do occur from time to time. Despite the price decay associated with leveraged ETFs, their long-run performance.
机译:杠杆式交易所交易基金(ETF)在投资领域相对较新,但在积极进取的投资者中越来越受欢迎。普通ETF跟踪特定股票指数的价值时,杠杆ETF试图每天获取基础指数收益的倍数。对于牛证ETF,该倍数可以为正;对于熊证(或反向)ETF,该倍数可以为负。为了实现这些目标,杠杆和反向基金通过使用掉期合约,期货合约,期权和其他衍生工具来追求一系列投资策略。由于复利,运营费用和每日重置的影响,更不用说跟踪错误了,杠杆基金在较长时期内的表现可能与基准指数或基准的表现在很大程度上不同。同一时间段。从长远来看,这样的性能偏差通常是非常有意义的并且是意外的。本文提供了对杠杆ETF追踪其基础指数的效果的经验评估。结果表明,平均跟踪误差很小。但是,有时会发生大量的跟踪错误。尽管与杠杆ETF相关的价格下跌,但它们的长期表现仍然良好。

著录项

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    Wu Congsheng;

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  • 年度 2016
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  • 原文格式 PDF
  • 正文语种 en_US
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