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Found 3 essays matching the above criteria.

1. 1. Chasing Your Own Tail: The Market Stability Impact of Leveraged and Inverse Exchange-Traded Funds

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Gustaf Gustafsson; Sebastian Gerell; [2020]
   Keywords : Leveraged ETFs; Financial Stability; Market Microstructure Invariance; Price Impact; Sweden;

   Abstract : This thesis explores the market stability impact of the positive feedback mechanism of leveraged and inverse exchange-traded funds' (LETFs) rebalancing trades. We explore potential market stability effects by analysing intraday minute-by-minute data for underlying stocks in the OMXS30 and aggregate rebalancing flows for LETFs tracking the index. READ MORE

3. 2. Performance and Efficiency of the Nordic Exchange Traded Fund Market

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Anna Dahlstedt; Amanda Blomdahl; [2018]
   Keywords : Exchange traded funds; Leveraged ETF; Performance; Tracking error; Price deviation;

   Abstract : ETFs are experiencing rapid growth as a passive investment instrument. Due to the recent MiFID II and PRIIPS regulations, Nordic ETFs are becoming increasingly relevant for European investors. READ MORE

4. 3. Dodging the Leveraged ETF Bullet - An Innovative Trading Strategy

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : David Boxi Hu; Henrik Bark; [2010]
   Keywords : SPY; SSO; Leveraged ETF; Tracking Error; Trading Strategy;

   Abstract : Two main parts, with separate purposes constitute this thesis. Firstly, ETFs and Leveraged ETFs are demystified in an indepth descriptive manor. In a short period of time ETFs have reached immense popularity, but investor knowledge and sophistication is lagging. READ MORE