IDEAS home Printed from https://ideas.repec.org/a/mup/actaun/actaun_2018066051357.html
   My bibliography  Save this article

Measuring the Performance of Leveraged and Non-Leveraged ETF's

Author

Listed:
  • Martin Širůček

    (Department of Finance, Faculty for Business and Economics, Mendel University in Brno, Zemědělská 1, 613 00 Brno, Czech Republic)

  • Václav Ruml

    (KPMG Czech Republic, Veveří 3163/111, 616 00 Brno, Czech Republic)

  • Petr Strejček

    (Department of Finance, Faculty for Business and Economics, Mendel University in Brno, Zemědělská 1, 613 00 Brno, Czech Republic)

Abstract

This paper deals with exchange traded funds (ETFs) and valuation it'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.

Suggested Citation

  • Martin Širůček & Václav Ruml & Petr Strejček, 2018. "Measuring the Performance of Leveraged and Non-Leveraged ETF's," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 66(5), pages 1357-1367.
    • Handle: RePEc:mup:actaun:actaun_2018066051357
    DOI: 10.11118/actaun201866051357
    as

    Download full text from publisher

    File URL: http://acta.mendelu.cz/doi/10.11118/actaun201866051357.html
    Download Restriction: free of charge
    File URL: http://acta.mendelu.cz/doi/10.11118/actaun201866051357.pdf
    Download Restriction: free of charge
    File URL: https://libkey.io/10.11118/actaun201866051357?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Hassine, Marlène & Roncalli, Thierry, 2013. "Measuring Performance of Exchange Traded Funds," MPRA Paper 44298, University Library of Munich, Germany.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hurlin, Christophe & Iseli, Grégoire & Pérignon, Christophe & Yeung, Stanley, 2019. "The counterparty risk exposure of ETF investors," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 215-230.
    2. F. Riva & A. Calamia & L. Deville, 2013. "Liquidity in European equity ETFs: What really matters?," Post-Print hal-00846610, HAL.
    3. Kent T. Saunders, 2018. "Analysis of International ETF Tracking Error in Country-Specific Funds," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 46(2), pages 151-160, June.
    4. Ewa Feder-Sempach & Tomasz Miziołek, 2023. "How precisely European equity ETFs mirror their flagship benchmarks? Evidence from funds replicating performance of Euro Stoxx 50 Index," Journal of Asset Management, Palgrave Macmillan, vol. 24(2), pages 121-135, March.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mup:actaun:actaun_2018066051357. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ivo Andrle (email available below). General contact details of provider: https://mendelu.cz/en/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.