Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 10, 2023 erstellt
Beschreibung:
We investigate how accurate leveraged and inverse ETFs are in delivering their intended single-day returns and add much-needed context to the analysis of leveraged ETF performance. We demonstrate that these funds exhibit predictable deviations in returns relative to their target and design a market-neutral portfolio to capture them. We then demonstrate the viability of leveraging the portfolio’s returns through short selling and investments in option derivatives. Additionally, the study documents a case of asymmetric returns in overnight and intraday sessions in both stocks and options in leveraged and inverse ETFs