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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Leveraged and Inverse ETFs: An Analysis of Tracking Performance and Volatility Decay |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 57 |
| Date | 2019 |
| Abstract Text | Leveraged and inverse ETFs are a recent and successful nancial innovation that constantly spark debates. The purpose of this thesis is to present the dynamics and mechanics behind these complex products. A comprehensive analysis is carried out to assess the behavior of their returns. The results suggest that the main driver for tracking deviations is the volatility decay, which increases with longer holding periods, higher leverage and particularly with a larger realized volatility. Additionally, the ndings indicate that leveraged ETFs deliver their marketed multiple very precisely for one trading day. |
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