Corpus ID: 15349152

The Properties of Short Term Investing in Leveraged ETFs

@inproceedings{Deng2012ThePO,
  title={The Properties of Short Term Investing in Leveraged ETFs},
  author={Geng Deng and Craig J. McCann},
  year={2012}
}
  • Geng Deng, Craig J. McCann
  • Published 2012
  • Economics
  • The daily returns on leveraged and inverse-leveraged exchange-traded funds (LETFs) are a multiple of the daily returns of a reference index. Because LETFs rebalance their leverage daily, their holding period returns can deviate substantially from the returns of a leveraged investment. While about half of LETF investors hold their investments for less than a month, the standard analysis of these investments uses a continuous time framework that is not appropriate for analyzing short holding… CONTINUE READING

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