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Leveraged ETFs and their Unleveraged counterpart
Posted: September 8th, 2010, 4:06 pm
by MikeNN
Has anyone taken a look at comparing leveraged ETF compared with their non-leveraged counterpart? Does anyone know if there is a good way to compare the two on the long run (beyond their daily re-leveraging)? Any thoughts and insights appreciated.
Leveraged ETFs and their Unleveraged counterpart
Posted: September 15th, 2010, 5:37 pm
by CEexs
in the long run, people may experience that the leveraged ETF underperformed the regular ETF although the index is higher than at the time they bought due to realised vol
Leveraged ETFs and their Unleveraged counterpart
Posted: September 16th, 2010, 7:39 am
by eh
QuoteOriginally posted by: MikeNNHas anyone taken a look at comparing leveraged ETF compared with their non-leveraged counterpart? Does anyone know if there is a good way to compare the two on the long run (beyond their daily re-leveraging)? Any thoughts and insights appreciated.Avellaneda has published some stuff on this:
http://math.nyu.edu/faculty/avellane/
Leveraged ETFs and their Unleveraged counterpart
Posted: September 16th, 2010, 7:44 am
by daveangel
you might also want to look at this thread which discusses Ultra short funds