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Leveraged Exchange-Traded Funds

A Comprehensive Guide to Structure, Pricing, and Performance

Authors: Miu, Peter, Charupat, Narat

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  • First comprehensive work on the topic to bridge academic theory with applied perspectives
  • Written by experienced and successful academics with significant industry experience
  • LETFs are a growing area of focus among the investor community, as their trading volume is much larger than that of traditional, nonleveraged ETFs. As a result, there is a clear need for investors to understand their characteristics, pricing, and performance
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eBook $59.99
price for USA (gross)
  • ISBN 978-1-137-47821-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $74.99
price for USA
  • ISBN 978-1-137-47820-7
  • Free shipping for individuals worldwide
  • Online orders shipping within 2-3 days.
About this book

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, focusing on 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.

About the authors

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.

Reviews

An essential resource for those wanting to understand the intricacies of Leveraged Exchange Traded Funds, Mssrs. Charupat and Miu offer an in-depth examination of the operations of, the mathematics behind, and the general utility of, LETFs. This book is a must-read for any industry professional who strives to comprehend exactly what makes LETFs function, and wants an excellent illustration of all of the nuances of this very effective investing tool. Highly recommended for investors, advisors, compliance professionals and regulators alike.' —Jaime Purvis, Executive Vice-President, Horizons ETFs
An essential resource for those wanting to understand the intricacies of Leveraged Exchange Traded Funds, Mssrs. Charupat and Miu offer an in-depth examination of the operations of, the mathematics behind, and the general utility of, LETFs. This book is a must-read for any industry professional who strives to comprehend exactly what makes LETFs function, and wants an excellent illustration of all of the nuances of this very effective investing tool. Highly recommended for investors, advisors, compliance professionals and regulators alike.' —Jaime Purvis, Executive Vice-President, Horizons ETFs

Table of contents (8 chapters)

Table of contents (8 chapters)

Buy this book

eBook $59.99
price for USA (gross)
  • ISBN 978-1-137-47821-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $74.99
price for USA
  • ISBN 978-1-137-47820-7
  • Free shipping for individuals worldwide
  • Online orders shipping within 2-3 days.

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Bibliographic Information

Bibliographic Information
Book Title
Leveraged Exchange-Traded Funds
Book Subtitle
A Comprehensive Guide to Structure, Pricing, and Performance
Authors
Copyright
2016
Publisher
Palgrave Macmillan US
Copyright Holder
The Editor(s) (if applicable) and The Author(s)
eBook ISBN
978-1-137-47821-4
DOI
10.1057/9781137478214
Hardcover ISBN
978-1-137-47820-7
Edition Number
1
Number of Pages
X, 176
Topics