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Leveraged ETFs rebalancing impact
Hello Everyone, Just wanted to respond to my own question after almost four months. Actually, if you're interested in Leveraged ETFs, don't look to papers like theses, just complicated stuff with no result in the end. That's only a CPPI thing, you can check that from works of Leland, these are...- floyd2
- Post #2
- Forum: P1.T4. Valuation & Risk Models (30%)
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Mean reversion and Leveraged ETF
Hello everyone, Please, can you tell me why leveraged ETFs underperform their underlying index in a mean reversion environement? i can see this intuitively nor by formulas. Thank you in advance.- floyd2
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- Replies: 1
- Forum: P1.T3. Financial Markets & Products (30%)
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Leveraged ETFs rebalancing impact
Hello everyone! I'm currently studying a couple of papers on Leveraged ETFs rebalancing impact. However, i'm stuck with demonstrating 3 formulas, the 7th, 8th and 9th of this enclosed papaer. No proof is provided in the paper. Could you please help me with it? If you have any other paper on...- floyd2
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- Replies: 1
- Forum: P1.T4. Valuation & Risk Models (30%)
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VaR and BackTesting
Thank you so much for the quick and accurate answer! Sorry, I didn't know that it wasn't the suitable place to post it. Yes, i have got an exam of Risk Management next Thursday, i need to review my copula functions :/ the hardest part of all.- floyd2
- Post #3
- Forum: David's Notebook
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VaR and BackTesting
Hello, i'm new to this site, i really like it up to now. I have two questions if you can help me, Why do we choose to do backtesting with a VaR with one day horizon and a VaR with ten days horizon when computing capital requirements for market risk? what is the actual VaR calculated in a...- floyd2
- Thread
- Replies: 9
- Forum: David's Notebook