Skip to main content

Main menu

  • Latest
  • Content
    • Archive
  • About
    • About the Guides
    • About IIJ
  • Information for
    • Advertisers and Sponsors
    • Institutions
  • Events
  • Institutional Investor Journals: Home
    • The Journal of Alternative Investments
    • The Journal of Derivatives
    • The Journal of Fixed Income
    • The Journal of Index Investing
    • The Journal of Investing
    • The Journal of Portfolio Management
    • The Journal of Private Equity
    • The Journal of Retirement
    • The Journal of Structured Finance
    • The Journal of Trading
    • The Journal of Wealth Management
    • Practical Applications
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
  • Like IIJ on Facebook

User menu

  • Register
  • Subscribe
  • My alerts
  • Log in

Search

  • Advanced search
IIJ Guides
  • Institutional Investor Journals: Home
    • The Journal of Alternative Investments
    • The Journal of Derivatives
    • The Journal of Fixed Income
    • The Journal of Index Investing
    • The Journal of Investing
    • The Journal of Portfolio Management
    • The Journal of Private Equity
    • The Journal of Retirement
    • The Journal of Structured Finance
    • The Journal of Trading
    • The Journal of Wealth Management
    • Practical Applications
  • Register
  • Subscribe
  • My alerts
  • Log in
IIJ Guides

IIJ Guides

Advanced Search

  • Latest
  • Content
    • Archive
  • About
    • About the Guides
    • About IIJ
  • Information for
    • Advertisers and Sponsors
    • Institutions
  • Events
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
  • Like IIJ on Facebook
Article

Rebalancing Leveraged and Inverse Funds

Joanne M Hill and Solomon G Teller
ETFs and Indexing Fall 2009, 2009 (1) 67-76
Joanne M Hill
is head of investment strategy at ProShares ETFs and ProFunds in Bethesda, MD. jhill@profunds.com
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Solomon G Teller
is a director of investment analytics at ProShares ETFs and ProFunds at Bethesda, MD. steller@proshares.com
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF
Loading

This article requires a subscription to view the full text. If you have a subscription you may use the login form below to view the article. Access to this article can also be purchased.

Abstract

Leveraged and inverse ETFs—funds designed to achieve a positive or negative multiple of index returns on a daily basis—have grown to more than $30 billion in assets in the three years since their introduction in mid-2006. However, the recent high-volatility market environment has led to some concerns about their performance over time. This article explains how periodically rebalancing a leveraged or inverse fund position can be an effective strategy for investors whose goal is to achieve returns close to the stated daily multiple (e.g., +2x or -2x) of the index return over time. A historical analysis of un-rebalanced versus rebalanced returns for a variety of indexes across a range of market conditions provides evidence of the effectiveness of rebalancing over six-month holding periods. The frequency of rebalancing required depended on the volatility of the underlying index and on whether the stated daily multiple was long (+2x) or inverse (-2x). The rebalancing frequency ranged from as little as three to four times a year for long levered positions on low-volatility indexes to as often as once a week for inverse positions on high-volatility indexes.

  • © 2009 Pageant Media Ltd
View Full Text

Log in using your username and password

Forgot your user name or password?

Purchase access

You may purchase access to this article. This will require you to create an account if you don't already have one.
PreviousNext
Back to top

In this issue

ETFs and Indexing: 2009 (1)
Exchange Traded Funds
Vol. 2009, Issue 1
Fall 2009
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on IIJ Guides.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Rebalancing Leveraged and Inverse Funds
(Your Name) has sent you a message from IIJ Guides
(Your Name) thought you would like to see the IIJ Guides web site.
Citation Tools
Rebalancing Leveraged and Inverse Funds
Joanne M Hill, Solomon G Teller
ETFs and Indexing Sep 2009, 2009 (1) 67-76;

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Rebalancing Leveraged and Inverse Funds
Joanne M Hill, Solomon G Teller
ETFs and Indexing Sep 2009, 2009 (1) 67-76;
Permalink:
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • REBALANCING INVOLVES MONITORING AND ADJUSTING THE FUND POSITION: MIND THE GAP
    • HISTORICAL ANALYSIS OF REBALANCING EFFECTIVENESS: METHODOLOGY
    • COMPARISON OF UN-REBALANCED AND REBALANCED S&P 500 LEVERAGED AND INVERSE INDEX RETURNS
    • REBALANCING WAS EFFECTIVE ACROSS A NUMBER OF INDEXES
    • A LOOK AT THE SUCCESS OF REBALANCING A -2x S&P 500 INDEX STRATEGY IN EARLY 2009
    • REBALANCING HELPS NARROW THE GAP
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • Market Liquidity: Don’t Know What You’ve Got ‘Til
    It’s Gone
  • Application of Order Awareness Technology in
    Algorithms for the Buy Side
  • Liquidity, Duration, and the “Financial” Transmission Mechanism
Show more Article

Similar Articles

II Journals
1120 Avenue of the Americas
New York, NY 10036

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
  • Like IIJ on Facebook

ABOUT US

  • Home
  • About IIJ
  • Nobel Laureates
  • Events
  • Awards
  • Careers

OUR OFFERINGS

  • Permissions and Reprints
  • Digital Journal Archives

GET INVOLVED

  • Advertise or sponsor
  • Publish your work
  • Subscribe
  • Agents

CUSTOMER SERVICE

  • Contact Us
  • FAQ's
  • Feedback
  • Publishing Schedule 2017/2018
  • Code of Ethics
  • Subscribe Now
  • Log In

© 2018 Pageant Media Ltd | All Rights Reserved

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies