We investigate the effect of exchange-traded fund (ETF) liquidity on ETF tracking errors,
returns, and volatility in the US. We find that illiquid ETFs have large tracking errors. The …

This paper investigates the most traded VIX exchange traded products (ETPs) with focus on
their performance, price discovery, hedging ability, and trading strategy. The VIX ETPs track …

As the global ETF market continues to grow, the significance of understanding replication
strategies has become increasingly apparent. This study examines the compensation of …

Purpose Passive investing has established itself as the dominant force in the world of
professionally managed assets, surpassing the concept of index funds. Its meteoric rise is …

Mechanical positive-feedback rebalancing of Leveraged and Inverse Exchange Traded
Funds (LETFs) resembles the portfolio insurance strategies, which contributed to the stock …

Exchange traded funds (ETFs) provide a means for investors to access assets indirectly that
may be accessible at a high cost otherwise. I show that liquidity segmentation can explain …

Although leveraged exchange-traded funds (ETFs) are popular products for retail investors,
how to hedge them poses a great challenge to financial institutions. We develop an optimal …

The design of leveraged and inverse exchange-traded funds (ETFs) has raised concerns
that they may exacerbate volatility in financial markets by mechanically rebalancing their …

Purpose Prior literature has shown that, theoretically, holding-period returns of a leveraged
exchange-traded fund (LETF) are generally negatively affected by the volatility of the …

Daily leveraged exchange traded funds amplify gains and losses of their underlying
benchmark indexes on a daily basis. The result of going long in a daily leveraged ETF for …