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Measuring the Performance of Leveraged and Non‑Leveraged ETF’s

Author

Listed:
  • Martin Širůček

    () (Department of Finance, Faculty for Business and Economics, Mendel University in Brno, Zemědělská 1, 613 00 Brno, Czech Republic)

  • Václav Ruml

    () (KPMG Czech Republic, Veveří 3163/111, 616 00 Brno, Czech Republic)

  • Petr Strejček

    () (Department of Finance, Faculty for Business and Economics, Mendel University in Brno, Zemědělská 1, 613 00 Brno, Czech Republic)

Abstract

This paper deals with exchange traded funds (ETFs) and valuation it’s performance according to selected indicators. For empirical analysis 10 leveraged and non‑leveraged ETFs listed on US market is chosen according to selected criterias (adequate history at least 7 years, daily presented NAV, accessibility for retail investor). Observed time period was 2010–2015 and selected investment horizon is 1, 3 and 6 years. Funds are analyzed on the basis of NAV in the terms of return and risk represented by selected indicators (like Sharpe ratio, Traynor ratio, Information ratio, Apparaisal ratio and indicators like alfa (Jensen Alfa) and beta. Results are commented in a broader context in summary and discussion chapter as well as recommendations. Measured by classical Sharpe ratio, both groups bring to investor pretty same results, but e.q. by Information ratio by non‑leveraged ETF shows very clearly the importance of work by ETF portfolio manager. Only a few leveraged ETF bring to the investor adequate ratio between profit and level of risk.

Suggested Citation

  • Martin Širůček & Václav Ruml & Petr Strejček, 2018. "Measuring the Performance of Leveraged and Non‑Leveraged ETF’s," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 66(5), pages 1357-1367.
  • Handle: RePEc:mup:actaun:actaun_2018066051357
    DOI: 10.11118/actaun201866051357
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    References listed on IDEAS

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    1. Hassine, Marlène & Roncalli, Thierry, 2013. "Measuring Performance of Exchange Traded Funds," MPRA Paper 44298, University Library of Munich, Germany.
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