Trading CSR/CSE leveraged inefficiency

V Basdekidou - … Journal of Financial Engineering and Risk …, 2019 - inderscienceonline.com
International Journal of Financial Engineering and Risk Management, 2019inderscienceonline.com
The paper is about the inefficiency appearing in leveraged trading instruments with
CSR/CSE firms as benchmark index. The subject is important because leveraged ETFs have
grown in popularity. The principal target is to introduce a framework for personalised tactics
when trading leveraged ETFs. For this purpose, the concept CSR/CSE leverage inefficiency
is defined initially as an innovative term benchmarked a 3D array and then the dimensions,
functionalities and trading returns of this inefficiency are discussed. The paper's main …
The paper is about the inefficiency appearing in leveraged trading instruments with CSR/CSE firms as benchmark index. The subject is important because leveraged ETFs have grown in popularity. The principal target is to introduce a framework for personalised tactics when trading leveraged ETFs. For this purpose, the concept CSR/CSE leverage inefficiency is defined initially as an innovative term benchmarked a 3D array and then the dimensions, functionalities and trading returns of this inefficiency are discussed. The paper's main contribution is the empirically-tested conclusion that after the incorporation of the CSR/CSE leverages inefficiency in trading: 1) in choppy markets, institutional money accumulates profit entirely with overnight-positions in ethical non-leveraged ETFs; 2) in a trending markets, the profit occurs in day-trading on non-ethical leveraged instruments. Finally, according to a comparative return analysis, the best results are received by CSR/CSE ETFs in sideways and choppy markets after employing an overnight-position return trading strategy.
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