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) for more details.