Quant Congress USA: Avoid synthetic ETFs, says Avellaneda


It is impossible to make returns from leveraged and inverse exchange-traded funds (ETFs) in normal markets and investors should avoid the products, warned Marco Avellaneda, professor of mathematics at New York University, at Quant Congress USA yesterday.

In his keynote address, Avellaneda discussed the structure of the vast global ETF market – a market that now exceeds $1 trillion in notional, he said. There are five broad categories of ETFs, including those based on industry sectors, equity ind

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