Leveraged Exchange-Traded Funds (eBook)

A Comprehensive Guide to Structure, Pricing, and Performance

Peter Miu, Narat Charupat (Autoren)

eBook Download: PDF

2016 | 1st ed. 2016
X, 176 Seiten
Palgrave Macmillan US (Verlag)
978-1-137-47821-4 (ISBN)

Infos

This comprehensive guide to Leveraged Exchange-Traded Funds provides high-level practitioners and researchers with a detailed reference tool for navigating the market and making informed investment decisions. Written from a measured analytical perspective, Miu and Charupat use clear and concise explanations of all important aspects of LETFs.

Author Narat Charupat: Narat Charupat is Professor at McMaster University. Author Peter Miu: Peter Miu is Professor at the DeGroote School of Business of McMaster University.

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Leveraged Exchange-Traded Funds (LETFs) are publicly-traded funds that promise to provide daily returns that are in a multiple (positive or negative) of the returns on an index. To meet that promise, the funds use leverage, which is typically obtained through derivatives such as futures contracts, forward contracts, and total-return swaps. As of the end of 2012, there were over 250 LETFs in North America with total assets of approximately $32.24 billion. While the amount of assets held by these funds is still small, their popularity continues to grow as their trading volume is significantly larger and much more dynamic than traditional, non-leveraged ETFs. This comprehensive guide to LETFs provides high-level practitioners and researchers with a detailed reference tool for navigating the market and making informed investment decisions. Written from a measured analytical perspective, Miu and Charupat use clear and concise explanations of all important aspects of LETFs, focusingon such key elements as structure, pricing, performance, regulations, taxation, and trading strategies. The first two chapters set the stage for the book by identifying exactly what LETFs are and how they are regulated. The following chapters then look to bridge theory with practice to dive deep into the mechanics, portfolio rebalancing techniques, and daily compounding effects that make investing in these funds so lucrative.

Autor

Narat Charupat is Professor of Finance at the DeGroote School of Business, McMaster University, USA. Prior to joining academia, he worked as a financial analyst for an investment bank and risk management software company, where he conducted research into the areas of financial innovation, security designs, annuity and insurance products, arbitrage relationships, commodity investments, and behavioral finance. He is the co-author of a textbook on strategic financial planning and has published extensively in the Journal of Banking and Finance, Journal of Economic Theory, Journal of Financial and Quantitative Analysis, and Journal of Risk and Insurance.   Dr. Peter Miu is Professor of Finance at the DeGroote School of Business, McMaster University. His research is primarily in the areas of credit risk modeling, exchange-traded funds, and investments. He has served as a consultant for major financial institutions in North America, where he worked on such issues as validations of credit risk measures, regulatory capital requirements, risk rating and stress testing modeling. He is the co-author of two books on Basel II and III that provide both the theory and practical how-to knowledge risk management professionals need to implement the concepts of these regulatory requirements in their institutions. He has also published extensively in journals on issues related to leveraged exchange-traded funds. He sits on the editorial board of the Journal of Risk Model Validation and currently holds the Michael Lee-Chin & Family Professorship in Strategic Business Studies at the DeGroote School of Business.

Inhalt

List of FiguresList of Tables1.Introduction2.Regulations and Taxations of Leveraged ETFs3.Mechanics of Leveraged Exchange-Traded Funds4.Return Dynamics and Compounding Effects5.Pricing Efficiency6.Performance and tracking errors of LETF7.Trading Strategies8.Options on LETFsBibliography

Produkt-Details

• Erscheint lt. Verlag: 29.4.2016
• Zusatzinfo: X, 176 p.
• Verlagsort: New York
• Sprache: englisch
• Themenwelt: Schulbuch / Wörterbuch
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Technik
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Schlagworte: Banking • Capital Market • Exchange Traded Funds • Exchange Trade Funds • Finance • Investment • Investments • Investments and Securities • options • Securities • Trading • trading strategie
• ISBN-10: 1-137-47821-7 / 1137478217
• ISBN-13: 978-1-137-47821-4 / 9781137478214