Price inefficiency and stock-loan rates of leveraged ETFs

Leveraged ETFs have been popular with investors, but analysis suggests they significantly underperform benchmark returns. Marco Avellaneda and Doris Dobi consider the reasons for this


Leveraged exchange-traded funds (ETFs) have attracted considerable attention from investors, market commentators and academics. For investors, the leveraged ETF offers the possibility of increased leverage and shorting through inverse funds. Among market commentators, leveraged ETFs are a popular topic, both to articulate bullish or bearish views on a particular sector, or to consider their performances relative to the benchmarks. Mathematicians and quants have also been active in research on

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