Shorting Leveraged ETF Pairs
| Autor: | Jun Wang, Cunyu Xing, Ge Zhang, Jouahn Nam, Christopher Hessel |
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| Rok vydání: | 2018 |
| Předmět: | |
| Zdroj: | The Journal of Trading. 13:69-79 |
| ISSN: | 2168-8427 1559-3967 |
| DOI: | 10.3905/jot.2018.13.2.069 |
| Popis: | This article examines the strategy of shorting a pair of leveraged ETFs and inverse leveraged ETFs of the same index. The profitability of this strategy does not depend on the direction of the underlying benchmark. The authors derive an approximation formula to show that the expected return is high when the weighted sum of various orders of autocorrelations is negative and the volatility of the underlying index is high. They then study the trading strategy in six markets and show that it can generate mean monthly returns of over 1% in four markets. The returns can be further enhanced if they exploit the persistence of the volatility and start the shorting pair strategy when the observed volatility is high. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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