Skip to main content

Main menu

  • Home
  • Past Guides
  • About the Guides
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • LinkedIn
  • Twitter

User menu

  • Sample our Content
  • Subscribe Now
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
PMR Guides
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Subscribe Now
  • Log in
PMR Guides

PMR Guides

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Past Guides
  • About the Guides
  • LinkedIn
  • Twitter
Article

Rebalancing Leveraged and Inverse Funds

Joanne M Hill and Solomon G Teller
ETFs and Indexing Fall 2009, 2009 (1) 67-76
Joanne M Hill
is head of investment strategy at ProShares ETFs and ProFunds in Bethesda, MD.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: jhill@profunds.com
Solomon G Teller
is a director of investment analytics at ProShares ETFs and ProFunds at Bethesda, MD.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: steller@proshares.com
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.
Don’t have access? Sign up today to begin your trial to the PMR platform 

Abstract

Leveraged and inverse ETFs—funds designed to achieve a positive or negative multiple of index returns on a daily basis—have grown to more than $30 billion in assets in the three years since their introduction in mid-2006. However, the recent high-volatility market environment has led to some concerns about their performance over time. This article explains how periodically rebalancing a leveraged or inverse fund position can be an effective strategy for investors whose goal is to achieve returns close to the stated daily multiple (e.g., +2x or -2x) of the index return over time. A historical analysis of un-rebalanced versus rebalanced returns for a variety of indexes across a range of market conditions provides evidence of the effectiveness of rebalancing over six-month holding periods. The frequency of rebalancing required depended on the volatility of the underlying index and on whether the stated daily multiple was long (+2x) or inverse (-2x). The rebalancing frequency ranged from as little as three to four times a year for long levered positions on low-volatility indexes to as often as once a week for inverse positions on high-volatility indexes.

  • © 2009 Pageant Media Ltd
View Full Text

Don’t have access? Register today to begin unrestricted access to our database of research.

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monhtly highlights
  • Special collections

In this issue

ETFs and Indexing: 2009 (1)
Exchange Traded Funds
Vol. 2009, Issue 1
Fall 2009
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on PMR Guides.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Rebalancing Leveraged and Inverse Funds
(Your Name) has sent you a message from PMR Guides
(Your Name) thought you would like to see the PMR Guides web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Rebalancing Leveraged and Inverse Funds
Joanne M Hill, Solomon G Teller
ETFs and Indexing Sep 2009, 2009 (1) 67-76;

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Rebalancing Leveraged and Inverse Funds
Joanne M Hill, Solomon G Teller
ETFs and Indexing Sep 2009, 2009 (1) 67-76;
Reddit logo Twitter logo Facebook logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • REBALANCING INVOLVES MONITORING AND ADJUSTING THE FUND POSITION: MIND THE GAP
    • HISTORICAL ANALYSIS OF REBALANCING EFFECTIVENESS: METHODOLOGY
    • COMPARISON OF UN-REBALANCED AND REBALANCED S&P 500 LEVERAGED AND INVERSE INDEX RETURNS
    • REBALANCING WAS EFFECTIVE ACROSS A NUMBER OF INDEXES
    • A LOOK AT THE SUCCESS OF REBALANCING A -2x S&P 500 INDEX STRATEGY IN EARLY 2009
    • REBALANCING HELPS NARROW THE GAP
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • Strategic Marketing for Exchange-Traded Funds
  • European ETFs and the Securities Lending Market
  • Understanding ETF Trading and Liquidity in Europe
Show more Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
reply@pm.research.com
 

Stay Connected

  • LinkedIn
  • Twitter

MORE FROM PMR

  • Home
  • Awards
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2023 With Intelligence Ltd | All Rights Reserved

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies