Leveraged ETFs (LETFs) are financial instruments designed to amplify the daily returns of an underlying index, typically by a factor of two or three.
Great article. Do you know if there are any studies that compare LETFs with long-dated OTM call options on ETFs? Thanks!
Not sure what you're thinking about exactly, but this one is definitely worth a read. It shows that 1 yr payoff of a portfolio that contains LETF resembles a call option. I'm exploring various ways for arbitrage around this idea.
https://harbourfrontquant.substack.com/p/leveraged-exchange-traded-funds-revisited
Thank you!
Great article. Do you know if there are any studies that compare LETFs with long-dated OTM call options on ETFs? Thanks!
Not sure what you're thinking about exactly, but this one is definitely worth a read. It shows that 1 yr payoff of a portfolio that contains LETF resembles a call option. I'm exploring various ways for arbitrage around this idea.
https://harbourfrontquant.substack.com/p/leveraged-exchange-traded-funds-revisited
Thank you!