This study extensively analyses a recently popularized asset class, exchange-traded
commodities (ETCs). We demonstrate that the tracking error of ETCs is dependent on the …

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 …

We examine the pricing efficiency of leveraged exchange‐traded funds, whose goal is to
generate daily returns that are in a positive or a negative multiple of the underlying index …

Leveraged exchanged traded funds (LETFs) have been severely criticized in recent years.
They have been attacked in the academic literature, the trade literature, and the popular …

This study examines the use of leveraged exchange traded funds (LETFs) within a constant
proportional portfolio insurance (CPPI) strategy. The advantage of using LETFs in such a …

A high liquidity, low expense ratio and the possibility to conduct arbitrage allow exchange-
traded funds (ETFs) to be used for short sales. Bearish investors can also buy inverse ETFs …

It is well established that holding leveraged exchange-traded funds (ETFs) over an extended
period of time generally results in returns substantially less than the daily multiple might …

Due to the interplay between daily rebalancing and volatility, Leveraged Exchange Traded
Funds (ETFs) may experience a cumulative return different from the product of their daily …

Purpose–Leveraged exchange traded funds (ETFs) have become increasingly popular
since their introduction in 2006. In recent years, options on leveraged ETFs have been …

Leveraged and inverse ETFs, which promise to deliver two or three times the return of a
specified benchmark (in a positive or a negative fashion) on a daily basis, have become a …