روش ردیابی خطا برای ETF اهرمی: آیا آنها واقعا بد هستند؟
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|43187||2015||17 صفحه PDF||سفارش دهید||محاسبه نشده|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Global Finance Journal, Volume 26, May 2015, Pages 47–63
Exchange traded funds or ETFs are undoubtedly one of the most successful financial innovations of the past two decades. They were largely noncontroversial until the advent of leveraged exchange traded funds or LETFs which were introduced in 2006. LETFs have been criticized by many in the popular press, but also in a number of scholarly journals, as routinely underperforming their stated return objectives. They have also become the subject of many lawsuits. Noticeably few scholarly papers have defended them. We take a tracking error approach, using both simulation analysis and past historical data, to examine how these funds would have behaved under various return/volatility scenarios. We conclude that LETFs of the 2 ×, 3 ×, − 2 ×, and − 3 × varieties have been wrongly maligned and we believe they should be considered for inclusion in aggressive portfolios.