This study investigates the tracking performance and pricing efficiency of five groups of equity leveraged ETFs traded in Japan. One distinguishing feature of these leveraged ETFs is that they employ only futures contracts to achieve their desired exposures on the benchmark index. This allows us to develop a framework to determine their theoretical returns, based on the costs of carry of their underlying assets. The empirical results show that funds with positive (negative) leverage ratios tend to outperform (underperform) against their benchmarks, a pattern the opposite of US-listed equity-index tracking funds. Moreover, this outperformance/underperformance pattern concentrates on the popular ex-dividend dates of the constituent stocks of the underlying index. By using our theoretical framework, we reconcile these performance behaviors that can be attributed to the heavy reliance on futures contracts.

这项研究调查了在日本交易的五组股票杠杆ETF的追踪性能和定价效率。这些杠杆ETF的一个显着特征是，它们仅使用期货合约来实现其在基准指数上的期望敞口。这使我们能够根据其基础资产的持有成本，开发一个框架来确定其理论收益。实证结果表明，杠杆比率为正（负）的基金往往会比其基准跑赢（跑输），这与在美国上市的股指追踪基金相反。此外，这种表现不佳/表现不佳的模式集中于基础指数成分股的普遍除息日。通过使用我们的理论框架，