Click to login and read the full article.
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600
Abstract
In this article we present a quantitative analysis of the long term risk and return characteristics of leveraged ETFs, and use it to derive an investment strategy that is based on existing leveraged ETFs, but adjusts the leverage factor over time to the prevailing market environment. We show that this strategy creates alpha in the long run in both absolute terms and from a risk-adjusted perspective, and we complement our technical analysis with long-term backtests.
TOPICS: Exchange-traded funds and applications, simulations, performance measurement, VAR and use of alternative risk measures of trading risk
- © 2013 Pageant Media Ltd
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600