Understanding the Tracking Errors of Commodity Leveraged ETFs
Understanding the Tracking Errors of Commodity Leveraged ETFs
复制标题
了解商品杠杆ETF的跟踪误差
DOI：
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发表时间：
2014
期刊：
影响因子：
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通讯作者：
Tim Leung
中科院分区：
文献类型：
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作者：
Kevin Guo;Tim Leung
大宗商品交易所交易基金(ETF)是快速增长的ETF市场的重要组成部分。近年来，它们变得流行起来，因为它们为投资者提供了购买各种大宗商品的途径，从贵金属到建材，从石油和天然气到农产品。在本文中，我们分析了商品杠杆ETF的跟踪表现，并讨论了相关的交易策略。众所周知，由于所谓的波动性衰减，杠杆ETF的回报通常会在更长的持有期内偏离其跟踪目标。这促使我们构建了一个解释波动性衰减的基准过程，并用它来检验大宗商品杠杆ETF的跟踪表现。从经验数据中，我们发现许多大宗商品杠杆ETF的表现明显逊于基准，我们通过已实现有效费用的新概念来量化这种差异。最后，我们考虑了一些交易策略，并用历史价格数据进行了反向检验，检验了它们的表现。
Commodity exchange-traded funds (ETFs) are a significant part of the rapidly growing ETF market. They have become popular in recent years as they provide investors access to a great variety of commodities, ranging from precious metals to building materials, and from oil and gas to agricultural products. In this article, we analyze the tracking performance of commodity leveraged ETFs and discuss the associated trading strategies. It is known that leveraged ETF returns typically deviate from their tracking target over longer holding horizons due to the so-called volatility decay. This motivates us to construct a benchmark process that accounts for the volatility decay, and use it to examine the tracking performance of commodity leveraged ETFs. From empirical data, we find that many commodity leveraged ETFs underperform significantly against the benchmark, and we quantify such a discrepancy via the novel idea of realized effective fee. Finally, we consider a number of trading strategies and examine their performance by backtesting with historical price data.