Download or read book Leveraged Exchange Traded Funds written by Peter Miu and published by Palgrave Macmillan. This book was released on 2016-01-05 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leveraged Exchange-Traded Funds (LETFs) are publicly-traded funds that promise to provide daily returns that are in a multiple (positive or negative) of the returns on an index. To meet that promise, the funds use leverage, which is typically obtained through derivatives such as futures contracts, forward contracts, and total-return swaps. As of the end of 2012, there were over 250 LETFs in North America with total assets of approximately $32.24 billion. While the amount of assets held by these funds is still small, their popularity continues to grow as their trading volume is significantly larger and much more dynamic than traditional, non-leveraged ETFs. This comprehensive guide to LETFs provides high-level practitioners and researchers with a detailed reference tool for navigating the market and making informed investment decisions. Written from a measured analytical perspective, Miu and Charupat use clear and concise explanations of all important aspects of LETFs, focusing on such key elements as structure, pricing, performance, regulations, taxation, and trading strategies. The first two chapters set the stage for the book by identifying exactly what LETFs are and how they are regulated. The following chapters then look to bridge theory with practice to dive deep into the mechanics, portfolio rebalancing techniques, and daily compounding effects that make investing in these funds so lucrative.

Download or read book Leveraged Exchange Traded Funds written by Tim Leung and published by Springer. This book was released on 2016-02-24 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an analysis, under both discrete-time and continuous-time frameworks, on the price dynamics of leveraged exchange-traded funds (LETFs), with emphasis on the roles of leverage ratio, realized volatility, investment horizon, and tracking errors. This study provides new insights on the risks associated with LETFs. It also leads to the discussion of new risk management concepts, such as admissible leverage ratios and admissible risk horizon, as well as the mathematical and empirical analyses of several trading strategies, including static portfolios, pairs trading, and stop-loss strategies involving ETFs and LETFs. The final part of the book addresses the pricing of options written on LETFs. Since different LETFs are designed to track the same reference index, these funds and their associated options share very similar sources of randomness. The authors provide a no-arbitrage pricing approach that consistently value options on LETFs with different leverage ratios with stochastic volatility and jumps in the reference index. Their results are useful for market making of these options, and for identifying price discrepancies across the LETF options markets. As the market of leveraged exchange-traded products become a sizeable connected part of the financial market, it is crucial to better understand its feedback effect and broader market impact. This is important not only for individual and institutional investors, but also for regulators.

Download or read book Leveraged Exchange Traded Funds written by Narat Charupat and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Setting Aside Myths About Leveraged ETFs written by Tom Lydon and published by Pearson Education. This book was released on 2010-03-15 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the eBook version of the printed book. This Element is an excerpt from The ETF Trend Following Playbook: Profiting from Trends in Bull or Bear Markets with Exchange Traded Funds (ISBN: 9780137029013) by Tom Lydon. Available in print and digital formats. The real truth about leveraged ETFs—and why commonly held beliefs about them just aren’t true. With popularity comes criticism and nit-picking. Leveraged ETFs are no exception. Some pundits believe these specialized ETFs have increased market volatility in the last hour of trading. But many investors and people in the media are having trouble getting their arms around the truth. The SEC has been looking closely at these funds and have had dialogue and visits with ETF providers who are offering them. Here are the facts....

Download or read book Getting Investment Leverage in the Markets written by Tom Lydon and published by Pearson Education. This book was released on 2010-03-15 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the eBook version of the printed book. This Element is an excerpt from The ETF Trend Following Playbook: Profiting from Trends in Bull or Bear Markets with Exchange Traded Funds (ISBN: 9780137029013) by Tom Lydon. Available in print and digital formats. Why go “short”–and how to use leveraged ETFs to do it more effectively. During the last several bear markets, you might have been well served by reducing your exposure to equities. A number of investors–perhaps even you–decided to “short” the market instead of exiting entirely. By shorting stocks, investors can potentially make money when the stock loses value. Short selling can help you accomplish several goals.

Download or read book How Appropriate are Leveraged ETFs for Long term Investments written by Dennis Hummel and published by . This book was released on 2015-03-05 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2013 in the subject Business economics - Investment and Finance, grade: 2,7, University of Mannheim (Area Banking, Finance, and Insurance), language: English, abstract: Leveraged exchange-traded funds (LETFs) track the development of an underlying index with a certain multiplier. For compounding and non-compounding effects this is only guaranteed on a daily basis which raises concerns about their performance in the long run. After analyzing the LETF market in Germany, I ran a Monte-Carlo simulation of three multipliers across five different holding periods (one week to 4 years) to estimate the tracking error and I found that the multipliers deviate substantially for holding periods longer than one month. Using the rebalancing method with a 5% trigger proposed by other researchers, I was able to reduce the tracking error to negligible levels. In a nutshell, a buy-and-hold strategy using LETFs does not guarantee the multiplier in the long run and I recommend to invest directly in the index to participate from long-term stock market growth.

Download or read book Quantum Fading Strategies for Leveraged and Inverse ETFs written by Andreas Cseh and published by Anchor Academic Publishing. This book was released on 2013-08 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: Suppose the market is going to ‘crash’. What would you do? The most common answer would probably be: Sell what you have and get out of it. However, what if you have nothing to sell? A couple of years ago, simple investors would have said: ‘Stay on the sidelines’. The sophisticated and professionals always had plenty of avenues, such as shorting the stock, buying put options or selling naked calls. The gap was narrowed with the arrival of leveraged and inverse ETFs. These allow even novice investors to short the market in a less risky way. Traditional ETFs track an index or basket in a one-for-one approach, basically they are managed passively. In contrast, leveraged and inverse ETFs are intraday traded, and shouldn’t be confused with more-vanilla ETFs. Leveraged ETFs require active management which involves the borrowing of funds to purchase additional shares (bullish LETFs) or the short-selling (bearish LETFs) and the rebalance of the position on a daily basis. At present, most levered ETFs are either 2X, 3X, -2X, or 3X, and therefore they give investors the possibility to earn two or three times (and loose two or three times) the daily return of a simple long or short position in the index. These levered ETFs have leverage (borrowing) built into their structure, thus eliminating the need for investors to do their own borrowing (margin, futures, swaps etc.) or short-selling. But, the leveraging process is built to achieve an objective quite different from that of the simple and classical ETF.

Download or read book How To Make Money with Leveraged ETFs written by Charles Stewart and published by . This book was released on 2022-10-29 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Complete Guide to ETF Portfolio Management. The Essential Toolkit for Practitioners. This book is for you!! Hard discount for a few days!!

Download or read book Trading ETFs written by Deron Wagner and published by John Wiley & Sons. This book was released on 2012-01-17 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive catalog of exchange-traded funds and insights into successful trading techniques This Second Edition of the bestselling Trading ETFs offers an updated version of the definitive guide to this vital part of the capital markets. It contains numerous new examples of the techniques that author Deron Wagner uses in selecting the most timely ETFs to trade and underscores the core insights of his trading discipline "trade what you see, not what you think." Written for professionals who are using, or should be using, ETFs as an asset class within their portfolios, as well as the individual investor who wants exposure to wider sectors and geographical regions than those available elsewhere. This revised edition of the classic resource focuses on the pros, cons, and potential pitfalls of trading the latest class of ETFs Includes inversely correlated and leveraged ETFs and the dangers, risks, and benefits associated with each new class of ETF Contains a refresher on the initial concept of ETF selection and new case studies on ideal entry and exit points as well as examples of real trades This thoroughly revised and updated edition offers a "go-to" reference for understanding exchange-traded funds.

Download or read book An easy approach to exchange traded funds written by Stefano Calicchio and published by Stefano Calicchio. This book was released on 2014-02-17 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: What is an ETF? How does it work? Learning quickly the ETFs basics of trading has never been so easy. In this guide, you will discover all the information you need to exploit the full potential benefits of Exchange-Trade Funds, the benchmark knowledge, the choice of the relevant markets, the study of negotiation strategies, the asset allocation, and Paper Trading. This publication is the first guide that will help you to understand step by step how to deal with one of the most important financial markets tools in the world. Forget the inefficient theoretical manuals of thousands of pages sold for crazy prices online, and enjoy reading a book that will provide you with the knowledge you wish at an unbeatable price.

Download or read book Path Dependence of Leveraged ETF Returns written by Marco Avellaneda and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is well-known that leveraged exchange-traded funds (LETFs) don't reproduce the corresponding multiple of index returns over extended (quarterly or annual) investment horizons. In 2008, most leveraged ETFs underperformed the corresponding static strategies. In this paper, we study this phenomenon in detail. We give an exact formula linking the return of a leveraged fund with the corresponding multiple of the return of the unleveraged fund and its realized variance. This formula is tested empirically over quarterly horizons for 56 leveraged funds (44 double-leveraged, 12 triple-leveraged) using daily prices since January 2008 or since inception, according to the fund considered. The results indicate excellent agreement between the formula and the empirical data. The study also shows that leveraged funds can be used to replicate the returns of the underlying index, provided we use a dynamic rebalancing strategy. Empirically, we find that rebalancing frequencies required to achieve this goal are moderate, on the order of one week between rebalancings. Nevertheless, this need for dynamic rebalancing leads to the conclusion that leveraged ETFs as currently designed may be unsuitable for buy-and-hold investors.

Download or read book Explorations of Trading Strategies for Leveraged Exchange Traded Funds written by Barry John Posterro and published by . This book was released on 2009 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This paper describes our work in exploring trading strategies for the leveraged exchange-traded funds, Direxion Daily Financial Bull 3X (FAS) and Direxion Daily Financial Bear 3X (FAZ) over the first three quarters of 2009. Using minute-by-minute stock data we are able to verify the accuracy of these ETFs in regards to their target of the Russell 1000 Financial Index (RIFIN). We are then able to quantify the returns and risks involved with trading strategies that seek to exploit the ETFs objectives, specifically momentum trades, tracking-error discrepancy trades, and a combination of the two strategies we term "discount-and-up." Bootstrap simulation techniques are employed to measure values at risk and conditional tail expectations over 30 day time horizons for each strategy. Lastly, we demonstrate the dangers of traditional buy-and-hold investing with regards to leveraged ETFs.

Download or read book A Comprehensive Guide to Exchange Traded Funds ETFs written by Joanne M. Hill and published by CFA Institute Research Foundation. This book was released on 2015-05 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exchange-traded funds (ETFs) have become in their 25-year history one of the fastest growing segments of the investment management business. These funds provide liquid access to virtually every financial market and allow large and small investors to build institutional-caliber portfolios. Yet, their management fees are significantly lower than those typical of mutual funds. High levels of transparency in ETFs for holdings and investment strategy help investors evaluate an ETF’s potential returns and risks. This book covers the evolution of ETFs as products and in their uses in investment strategies. It details how ETFs work, their unique investment and trading features, their regulatory structure, how they are used in tactical and strategic portfolio management in a broad range of asset classes, and how to evaluate them individually.

Download or read book The ETF Handbook written by David J. Abner and published by John Wiley & Sons. This book was released on 2010-02-22 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first technical guide to ETFs geared towards professional advisors, institutional investors, and financial professionals seeking to understand the mechanics of ETFs Author/trader Dave Abner has created The ETF Handbook as a resource for everyone utilizing these sophisticated tools. With this book as your guide, you'll learn from a professional ETF trader with practical guidance for valuation and best execution techniques. This reliable handbook skillfully touches upon the technical details of ETFs not covered elsewhere. From the mechanics of ETF development to pricing and valuation techniques, this guide provides a complete background on ETF mechanics and offers extensive insights on using them from a professional's perspective. It addresses how to position ETFs efficiently within a portfolio, and examines who ETF users are and how the funds are employed. Along the way, Abner also offers recommendations on where to find data related to these financial instruments. Contains the technical ETF information needed by today's financial professionals Includes pricing and valuation spreadsheets and an instructional webinar that walks you through the world of ETFs Touches upon topics such as calculating NAV (net asset value) and best practices for executing ETF order flow Filled with in-depth insights and expert advice, The ETF Handbook contains ETF information that is critical for virtually every financial professional.

Download or read book Exchange traded Funds and the New Dynamics of Investing written by Ananth N. Madhavan and published by Oxford University Press. This book was released on 2016 with total page 289 pages. Available in PDF, EPUB and Kindle. Book excerpt: "An examination of the transformation of asset management through the rise of passive or index investing"--

Download or read book The Wisdom of Investing in ETFs written by David Gaffen and published by Pearson Education. This book was released on 2010-12-15 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Element is an excerpt from Never Buy Another Stock Again: The Investing Portfolio That Will Preserve Your Wealth and Your Sanity (9780137071555) by David Gaffen. Available in print and digital formats. Should you trade ETFs? An objective look at the pros and cons, the pitfalls, and how to avoid them. ETFs have some distinct advantages, such as tax efficiency, the ability to get in and out whenever you want, and in some cases, super-low expense ratios. However, there’s a downside, particularly for investors without discipline. The ability to trade whenever you want can exacerbate investors’ emotional desire to constantly shift positions. And some ETFs are just outright perilous...

Download or read book The ETF Book written by Richard A. Ferri and published by John Wiley & Sons. This book was released on 2011-07-26 with total page 405 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exchange-traded funds (ETFs) are revolutionizing the investment industry. From their introduction in 1993, ETFs have expanded exponentially over the past fifteen years. You, as an informed investor, need to know what makes ETFs unique, how they work, and which funds may help you achieve your financial goals. The updated edition provides the most current look at the ETF market, where the number of funds has doubled since the book first published in December 2007. A huge number of bonds funds, commodities funds, currency funds, leverage and short funds have been introduced. In addition, actively managed ETFs are here now, and some major mutual fund companies, like Fidelity and PIMCO, are getting into the market. Remarkably, the terminology in the ETP marketplace is also evolving at a rapid pace. The acronym ETP for exchange-traded product has become an industry standard. The term did not exist two years ago. Written by veteran financial professional and experienced author Richard Ferri, The ETF Book, Updated Edition gives you a broad and deep understanding of this important investment vehicle and provides you with the tools needed to successfully integrate exchange-traded funds into any portfolio. This detailed, yet clearly articulated guide contains the most up-to-date information on navigating the growing number of ETFs available in today's marketplace. Divided into four comprehensive parts, this guide addresses everything from ETF basics and in-depth fund analysis to the tax benefits of using ETFs. Included are a variety of portfolio management strategies using ETFs and examples of different model portfolios that you can easily adapt to your own investment endeavors. Whether you're just getting started or are a seasoned ETF investor, The ETF Book, Updated Edition will help enhance your understanding of this evolving field by: Examining the fundamental differences between exchange-traded portfolios Highlighting how to effectively implement a wide selection of ETFs?from Exploring specific ETF strategies?from buy and hold to market timing and sector rotation Introducing Index Strategy Boxes?a new way to understand index construction and how a fund is investing your money And much more Each chapter of The ETF Book, Updated Edition offers concise coverage of various issues. It is filled with in-depth insights on different types of ETFs and practical advice on how to select and manage them. The appendixes are an added benefit, offering an ETF Resource List, which will point you to more places for information on these structures, and a detailed Glossary to help you with industry-specific definitions. The ETF Book, Updated Edition is an invaluable road map for developing a winning investment strategy. Armed with the knowledge found throughout these pages, you'll be prepared to build a solid portfolio of ETFs that will benefit you for years to come.