How appropriate are leveraged ETFs for long-term investments?

Business & Finance, Finance & Investing, Finance
Cover of the book How appropriate are leveraged ETFs for long-term investments? by Dennis Hummel, GRIN Verlag
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Dennis Hummel ISBN: 9783656912972
Publisher: GRIN Verlag Publication: March 5, 2015
Imprint: GRIN Verlag Language: English
Author: Dennis Hummel
ISBN: 9783656912972
Publisher: GRIN Verlag
Publication: March 5, 2015
Imprint: GRIN Verlag
Language: English

Bachelor Thesis from the year 2013 in the subject Business economics - Investment and Finance, grade: 2,7, University of Mannheim (Area Banking, Finance, and Insurance), language: English, abstract: Leveraged exchange-traded funds (LETFs) track the development of an underlying index with a certain multiplier. For compounding and non-compounding effects this is only guaranteed on a daily basis which raises concerns about their performance in the long run. After analyzing the LETF market in Germany, I ran a Monte-Carlo simulation of three multipliers across five different holding periods (one week to 4 years) to estimate the tracking error and I found that the multipliers deviate substantially for holding periods longer than one month. Using the rebalancing method with a 5% trigger proposed by other researchers, I was able to reduce the tracking error to negligible levels. In a nutshell, a buy-and-hold strategy using LETFs does not guarantee the multiplier in the long run and I recommend to invest directly in the index to participate from long-term stock market growth.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

Bachelor Thesis from the year 2013 in the subject Business economics - Investment and Finance, grade: 2,7, University of Mannheim (Area Banking, Finance, and Insurance), language: English, abstract: Leveraged exchange-traded funds (LETFs) track the development of an underlying index with a certain multiplier. For compounding and non-compounding effects this is only guaranteed on a daily basis which raises concerns about their performance in the long run. After analyzing the LETF market in Germany, I ran a Monte-Carlo simulation of three multipliers across five different holding periods (one week to 4 years) to estimate the tracking error and I found that the multipliers deviate substantially for holding periods longer than one month. Using the rebalancing method with a 5% trigger proposed by other researchers, I was able to reduce the tracking error to negligible levels. In a nutshell, a buy-and-hold strategy using LETFs does not guarantee the multiplier in the long run and I recommend to invest directly in the index to participate from long-term stock market growth.

More books from GRIN Verlag

Cover of the book Freizeit älterer Menschen im Vergleich von Stadt und Land by Dennis Hummel
Cover of the book Das Papstamt aus römisch-katholischer Sicht - Ist der Papst unfehlbar? by Dennis Hummel
Cover of the book Fachgerechtes Eindichten eines ½ Zoll Withworth-Rohrgewindes und Aufschrauben einer passenden Rohrmuffe (Unterweisung Anlagenmechaniker / -in für Sanitär-, Heizung und Klimatechnik) by Dennis Hummel
Cover of the book Über Georg Kerschensteiner und den Begriff der Arbeitsschule by Dennis Hummel
Cover of the book Der IDW S 6 und seine Implikationen für die Erstellung von Sanierungsgutachten by Dennis Hummel
Cover of the book Männerbildung und ihre gesellschaftliche Rolle by Dennis Hummel
Cover of the book Gotteslehre und Christologie Basiswissen by Dennis Hummel
Cover of the book Benefits of social networking websites for young people by Dennis Hummel
Cover of the book Wie soll gelehrt und gelernt werden? Schulpraktische Studie anhand dreier Methoden by Dennis Hummel
Cover of the book Die sanfte Geburt! by Dennis Hummel
Cover of the book Die zunehmende Bedeutung der Personalakquisition als Teilbereich der Personalbeschaffung und des Personalmarketings by Dennis Hummel
Cover of the book Thomas Samuel Kuhns wissenschaftliche Paradigmen by Dennis Hummel
Cover of the book Pflegekammern - ein wirksames Instrument zur Professionalisierung der Pflege? by Dennis Hummel
Cover of the book Rechtliche Regulierung von Werbung in Kinderprogramm by Dennis Hummel
Cover of the book Interkulturelle Philosophie und interkulturelle Management Praxis by Dennis Hummel
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy