Abstract
In this chapter, we investigate the empirical returns of LETFs and present models for their price dynamics. We highlight the effects of leverage ratios and holding horizon on returns. An series of empirical studies are conducted to examine the tracking performance of LETFs and evaluate various leverage replication strategies.
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Leung and Ward (2015) show that the front-month futures is empirically most effective in replicating the spot gold price.
References
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Leung, T., Santoli, M. (2016). Price Dynamics of Leveraged ETFs. In: Leveraged Exchange-Traded Funds. SpringerBriefs in Quantitative Finance. Springer, Cham. https://doi.org/10.1007/978-3-319-29094-2_2
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DOI: https://doi.org/10.1007/978-3-319-29094-2_2
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Publisher Name: Springer, Cham
Print ISBN: 978-3-319-29092-8
Online ISBN: 978-3-319-29094-2
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