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Category: finance

Long Term Leveraged ETF Performance

Long Term Leveraged ETF Performance

An Analysis of Theoretical Simulated vs Actual Performance The long-term performance of leveraged ETFs is analyzed. Leveraged ETF performance is compared to simulated ideal leverage and underlying non-leveraged indexes, and a number of characterizations are drawn from the analysis. Some unexpected results, both in short and long-term performance, are presented. Also, an ETF Leverage Simulator was developed to interactively demonstrate different leverage factors, expense ratios, and their effects on performance. See the report Long-Term Leveraged ETF Performance (rpubs) or implementation ETF Leverage Comparator (github)…

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Financial Crisis – “Black Swan”?

Financial Crisis – “Black Swan”?

The financial market meltdown has caused many to re-evaluate their models for expected market returns. In reality, though, the recent market swings are not out of the ordinary in terms of what has been observed in the past. They are still within the fringes of the ‘long tail’ of the distribution of daily market returns. If there is an unpredictable and high impact event, waiting to spring on the market and challenge the perception of normal or ‘expected’, the “dot-com”…

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Daily Leveraged Funds, Short and Long-term Performance

Daily Leveraged Funds, Short and Long-term Performance

Introduction   Daily leveraged funds have been the topic of numerous articles recently which have questioned whether they should be held for periods longer than a single trading session, and in turn, whether they are suitable for individual investors. Take, for example, the Russell 2000 Index (^RUT), the iShares Russell 2000 ETF (IWM), which tracks the index, and the various daily leveraged funds which attempt to track the index to the tune of -3x (TZA, Direxion Daily Small Cap Bear…

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