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Article

An Alternative Method to Construct Levered Indexes

Salvatore Bruno, Ludwig Chincarini and Robert Whitelaw
The Journal of Index Investing Fall 2015, 5 (2) 34-47; DOI: https://doi.org/10.3905/jii.2014.5.2.034
Salvatore Bruno
is chief investment officer at IndexIQ in Rye Brook, NY.
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  • For correspondence: sbruno@indexiq.com
Ludwig Chincarini
is an associate professor of finance at the University of San Francisco School of Management and academic counsel at IndexIQ in Rye Brook, NY.
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  • For correspondence: chincarinil@hotmail.com
Robert Whitelaw
is the Edward C. Johnson III Professor of Entrepreneurial Finance at New York University Stern School of Business and chief investment strategist at IndexIQ in Rye Brook, NY.
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  • For correspondence: rwhitela@stern.nyu.edu
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Abstract

Investment products that seek to provide leveraged and inverse exposure to the equity markets have enjoyed great success in attracting assets. The largest and most popular exchange traded funds (ETFs) that provide these exposures rebalance their positions each day in an attempt to provide a precise multiple of the market return for the subsequent day. However, the daily rebalancing process can be detrimental to returns over holding periods longer than one day. For investors looking for leveraged or inverse exposure for holding periods greater than one day, a less frequent rebalancing cycle may be more appropriate. Further, moving away from a straight market-capitalization-based weighting methodology may offer opportunities to enhance the return profile thereby enabling an investor to better achieve her long-run investment objectives.

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The Journal of Index Investing: 5 (2)
The Journal of Index Investing
Vol. 5, Issue 2
Fall 2015
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An Alternative Method to Construct Levered Indexes
Salvatore Bruno, Ludwig Chincarini, Robert Whitelaw
The Journal of Index Investing Aug 2014, 5 (2) 34-47; DOI: 10.3905/jii.2014.5.2.034

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An Alternative Method to Construct Levered Indexes
Salvatore Bruno, Ludwig Chincarini, Robert Whitelaw
The Journal of Index Investing Aug 2014, 5 (2) 34-47; DOI: 10.3905/jii.2014.5.2.034
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  • Article
    • Abstract
    • WHY DAILY MULTIPLE AND INVERSE PRODUCTS MAY NOT WORK FOR BUY-AND-HOLD INVESTORS
    • AN ALTERNATIVE LEVERED INDEX
    • THE ALTERNATIVE LEVERED INDEX AND ASSET ALLOCATION
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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