Investment performance of shorted leveraged ETF pairs
Author:
Affiliation:
1. Suffolk University, Boston, MA, USA
2. Brooklyn College, New York, NY, USA
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00036846.2017.1282149
Reference10 articles.
1. Trading Costs in Three U.S. Bond Markets
2. The pricing and performance of leveraged exchange-traded funds
3. Understanding the risk of leveraged ETFs
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3. Leveraged ETF Pairs: An Empirical Evaluation of Portfolio Performance;The Journal of Investing;2021-08-18
4. Can shorting leveraged exchange-traded fund pairs be a profitable trade?;Journal of Investment Strategies;2019
5. Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications;The European Journal of Finance;2018-12-17
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