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Monthly-rebalanced leveraged exchange-traded products: Performance and mandatory rebalancing needs
The North American Journal of Economics and Finance ( IF 3.8 ) Pub Date : 2021-04-10 , DOI: 10.1016/j.najef.2021.101431
Ying Yuan , Yizhao Huang , Haoran Chen

This paper examines the performance of monthly-rebalanced Leveraged Exchange-Traded Products (LETPs), and compares the performance and mandatory rebalancing needs between monthly-rebalanced LETPs and daily-rebalanced LETPs. We find that our sample monthly-rebalanced LETPs can approximately deliver their stated multiples. The monthly-rebalanced LETPs still suffer from compounding effect when holding period is multiple months, but this effect is mitigated relative to daily-rebalanced LETPs. Investors can gain a predictable return multiple different from the stated multiple by purchasing monthly-rebalanced LETPs at a non-rebalancing time. Even after controlling for the underlying index, holding period, and target return multiple, the performance and risks of monthly-rebalanced LETPs are much different from those of daily-rebalanced LETPs. In addition, the monthly LETPs generally require more mandatory rebalancing than the daily ones. These findings can help investors, practitioners, and regulators better understand the performance behaviors and potential consequences of monthly-rebalanced LETPs.

中文翻译:


每月再平衡杠杆交易所交易产品:绩效和强制再平衡需求



本文研究了每月再平衡杠杆交易所交易产品 (LETP) 的性能,并比较了每月再平衡 LETP 和每日再平衡 LETP 的性能和强制再平衡需求。我们发现我们每月重新平衡的 LETP 样本大约可以实现其规定的倍数。当持有期为数月时,每月重新平衡的 LETP 仍然会受到复合效应的影响,但相对于每日重新平衡的 LETP,这种影响有所减轻。投资者可以通过在非重新平衡时间购买每月重新平衡的 LETP 来获得与规定倍数不同的可预测回报倍数。即使在控制了基础指数、持有期限和目标回报倍数后,每月重新平衡的 LETP 的表现和风险与每日重新平衡的 LETP 也有很大不同。此外,每月的 LETP 通常比每日的 LETP 需要更多的强制重新平衡。这些发现可以帮助投资者、从业者和监管机构更好地了解每月重新平衡 LETP 的绩效行为和潜在后果。
更新日期:2021-04-10
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