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1、StructuralSlippageofLeveragedETFsDorisDobi?MarcoAvellaneda??September13,2012AbstractThedailyrebalancingofaleveragedexchangetradedfund(LETF)requiresthefundmanagertosystematicallymodifytheamountofindexexposure.Inordertoachievetheinvestmentobjectiveofthef
2、und,managersofLETFsusetotalreturnswapswiththeappropriateleverageratio.Thisdailyrebalancingmayopenthepossibilityoffront-runningandothermarketfrictions.WeconstructedshortingtradesinordertocaptureanyexistingslippageresultingfromthedailyrebalancingofLETFs.
3、Ourdataunequivocallyshowsthatthecumulativee?ectofrebalancingcostscannotbeignored.Forholdingperiodsofoneday,evenafteraccountingforcompoundingcosts,LETFsfailtoperformasexpected.Inordertogainafullunderstandingoftheperformanceofthesetrades,itwascrucialtota
4、keintoaccounttheborrowingratesforshortingLETFs.Wecalculatedthedi?erencebetweentheslippageandtheborrowingratesandfoundthatin16outofthe21tradesthemeanvalueofthedi?erenceisstrictlypositivewith95percentcon?dence.PreciselybecauseLETFshavenegativeexpectedret
5、urnswithrespecttotheirbenchmarkindex,iftheyarenoto?setbyhighborrowingcosts,thensystematicshortingyieldsanarbitrageopportunity.?CourantInstituteofMathematicalSciences,251MercerStreet,NewYork,N.Y.10012.e-mail:dobi@cims.nyu.edu?FinanceConceptsSARL,49-51Av
6、enueVictor-Hugo,75116Paris,France.e-mail:avellaneda@courant.nyu.edu1Contents1Introduction32ManagingLETFs;BuyHigh,SellLow43AModelforSlippage84EmpiricalResultsforSlippage95Hard-to-BorrowandEmpiricalResults126Conclusion15AAppendix16A.1TheMechanicsofHedgin
7、gEquation.....................16References1621IntroductionLeveragedExchangeTradedFunds(LETFs)havegainedalotofpopularitysincetheircreationaround2006.AccordingtotrackerIndexUniverse,thereare275leveragedETFswithnearly$33billiondollarsinassets.LeveragedETF
8、sreferenceanunderlyingindexorETFando?eramultipleofthedailyreturnsoftheunderlyingindexminushedgingcostsandmanagementfees.LeveragedETFsbelongtotheclassofactivelymanagedfundsandthedailyrebalancingofaLETFrequiresthefundmanagertosystematical
