反向和杠杆etf的投资组合表现

J. DiLellio, R. Hesse, D. J. Stanley
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引用次数: 8

摘要

动荡的经济和金融时代要求投资者和财务规划师研究新的方法来实现财富最大化的目标。本文研究了在资产配置中使用反向或杠杆股权交易所交易基金(etf)的被动投资策略,并量化了对投资组合绩效的长期影响,以改善风险-回报权衡。使用蒙特卡罗模拟,从历史每日市场回报的两个不同时间段创建的分布中抽取样本。研究结果表明,尽管这些产品通常不建议在长期被动投资策略中使用,但潜在的多元化利益是存在的,这取决于股票和债券市场的行为。这些发现可能会极大地改变财务规划师和个人投资者目前使用的长期被动投资组合构建方法,这些投资者正在使用etf寻求潜在的多元化利益。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Portfolio performance with inverse and leveraged ETFs
Turbulent economic and financial times require investors and financial planners to investigate new ways to handle the goal of wealth maximization. This article investigates passive investment strategies that use inverse or leveraged equity exchanged-traded funds (ETFs) in their asset allocation, and quantifies the long-term impact on portfolio performance for the purpose of improving the risk-reward tradeoff. Monte Carlo simulations are used, drawing samples from distributions created by two distinct time periods of historical daily market returns. The findings suggest that, whereas these products are generally not recommended within long-term passive investment strategies, potential diversification benefits exist, dependent on the behavior of equity and debt markets. These findings could materially alter long-term passive portfolio construction methods currently in use by financial planners and individual investors seeking potential diversification benefits using ETFs.
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