Finance
Hoelters, Christian (2010)
Kuvaus
Kokotekstiversiota ei ole saatavissa.
Tiivistelmä
This study aims to investigate the impact of leveraged Exchange Traded Funds (ETFs) on the optimal portfolio selection. Leveraged ETFs originate from conventional ETFs which belong to the most successful investment tools within the worldwide capital markets. Leveraged ETFs have been created to mimic a multiple of the underlying benchmark return on a daily basis. Besides their success within the financial world, they create a great confusion concerning their specific performance characteristics. Even professionals as well as private investors are confused about their delivered past returns (see e.g., Lu, Wang & Zhang 2009). Due to the rising misperception, the performance development and the constitution of an optimal holding period gain a growing interest within the scientific research field.
With regard to the research approach of Baule (2009), this study aims to examine the impact of long and short ETFs on the optimal portfolio selection. Therefore, daily closed prices, which are gathered from the Reuters database system, are used for the return calculations. The selected data set involves 326 trading days, which is defined by the initial launch of the investigated leveraged ETFs, and is furthermore divided into several sub-periods. Hence, both kinds of ETFs are related to the main German equity index DAX as their underlying benchmark.
The results provide new evidence that leveraged ETFs can be used in a successful manner within holding periods longer than one day. After controlling the impact of leveraged ETFs on the optimal portfolio it is found that both types of these investment vehicles improve the portfolio performance in a significant way which holds even for each observed long-term period. Moreover, the results are to some degree consistent with the finding of Hill and Foster (2009) and Michalik and Schubert (2009). Additionally, the study indicates that the DAX and short ETF exposures deliver the best performance during the observed holding periods.
With regard to the research approach of Baule (2009), this study aims to examine the impact of long and short ETFs on the optimal portfolio selection. Therefore, daily closed prices, which are gathered from the Reuters database system, are used for the return calculations. The selected data set involves 326 trading days, which is defined by the initial launch of the investigated leveraged ETFs, and is furthermore divided into several sub-periods. Hence, both kinds of ETFs are related to the main German equity index DAX as their underlying benchmark.
The results provide new evidence that leveraged ETFs can be used in a successful manner within holding periods longer than one day. After controlling the impact of leveraged ETFs on the optimal portfolio it is found that both types of these investment vehicles improve the portfolio performance in a significant way which holds even for each observed long-term period. Moreover, the results are to some degree consistent with the finding of Hill and Foster (2009) and Michalik and Schubert (2009). Additionally, the study indicates that the DAX and short ETF exposures deliver the best performance during the observed holding periods.