Measuring the performance of leveraged and non-leveraged ETF'S

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F18%3A43914387" target="_blank" >RIV/62156489:43110/18:43914387 - isvavai.cz</a>

Result on the web

<a href="https://doi.org/10.11118/actaun201866051357" target="_blank" >https://doi.org/10.11118/actaun201866051357</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.11118/actaun201866051357" target="_blank" >10.11118/actaun201866051357</a>

Result language

angličtina

Original language name

Measuring the performance of leveraged and non-leveraged ETF'S

Original language description

This paper deals with exchange traded funds (ETFs) and valuation it&apos;s performance according to selected indicators. For empirical analysis 10 leveraged and non-leveraged ETFs listed on US market is chosen according to selected criterias (adequate history at least 7 years, daily presented NAV, accessibility for retail investor). Observed time period was 2010 - 2015 and selected investment horizon is 1, 3 and 6 years. Funds are analyzed on the basis of NAV in the terms of return and risk represented by selected indicators (like Sharpe ratio, Traynor ratio, Information ratio, Apparaisal ratio and indicators like alfa (Jensen Alfa) and beta. Results are commented in a broader context in summary and discussion chapter as well as recommendations. Measured by classical Sharpe ratio, both groups bring to investor pretty same results, but e.q. by Information ratio by non-leveraged ETF shows very clearly the importance of work by ETF portfolio manager. Only a few leveraged ETF bring to the investor adequate ratio between profit and level of risk.

Czech name

—

Czech description

—

Type

J_SC - Article in a specialist periodical, which is included in the SCOPUS database

CEP classification

—

OECD FORD branch

50206 - Finance

Project

—

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2018

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

—

Volume of the periodical

66

Issue of the periodical within the volume

5

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

11

Pages from-to

1357-1367

UT code for WoS article

—

EID of the result in the Scopus database

2-s2.0-85056283272