杠杆指数和 ETF 的长期回报估算

IF 1.5 Q3 BUSINESS, FINANCE
Hayden Brown
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引用次数: 0

摘要

每日杠杆交易所交易基金每日放大其相关基准指数的涨跌。做多日线型杠杆 ETF 超过一天的结果并不明显。这里给出了做多超过一天的日杠杆 ETF 对数收益率的界限。这些界限是相关基准指数每日对数收益率的二次方,用来寻找每日杠杆 ETF 相对于其相关基准指数表现优异和表现不佳的充分条件。值得注意的是,结果表明 2 倍日杠杆 S&P 500 ETF 的前景看好。如果 S&P 500 指数的年平均对数收益率一如既往地至少保持在 0.0658,且每日 S&P 500 对数收益率的标准差低于 0.0125,那么 2 倍杠杆每日 S&P 500 ETF 的长期表现将至少与 S&P 500 指数相当。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Long-term returns estimation of leveraged indexes and ETFs

Long-term returns estimation of leveraged indexes and ETFs

Daily leveraged exchange traded funds amplify gains and losses of their underlying benchmark indexes on a daily basis. The result of going long in a daily leveraged ETF for more than one day is less clear. Here, bounds are given for the log-returns of a daily leveraged ETF when going long for more than just one day. The bounds are quadratic in the daily log-returns of the underlying benchmark index, and they are used to find sufficient conditions for outperformance and underperformance of a daily leveraged ETF in relation to its underlying benchmark index. Of note, results show promise for a 2x daily leveraged S&P 500 ETF. If the average annual log-return of the S&P 500 index continues to be at least .0658, as it has been in the past, and the standard deviation of daily S&P 500 log-returns is under .0125, then a 2x daily leveraged S&P 500 ETF will perform at least as well as the S&P 500 index in the long-run.

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来源期刊
CiteScore
3.20
自引率
0.00%
发文量
21
期刊介绍: The journal Financial Markets and Portfolio Management invites submissions of original research articles in all areas of finance, especially in – but not limited to – financial markets, portfolio choice and wealth management, asset pricing, risk management, and regulation. Its principal objective is to publish high-quality articles of innovative research and practical application. The readers of Financial Markets and Portfolio Management are academics and professionals in finance and economics, especially in the areas of asset management. FMPM publishes academic and applied research articles, shorter ''Perspectives'' and survey articles on current topics of interest to the financial community, as well as book reviews. All article submissions are subject to a double-blind peer review. http://www.fmpm.org Officially cited as: Financ Mark Portf Manag
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