| dc.description.abstract | This thesis examines Leveraged Exchange-Traded Funds to assess their ability
to deliver the promised leverage, factor anomalies, behavior in different market
conditions, long-term performance drivers, and pricing efficiency. Findings
reveal that LETFs consistently underdeliver on promised leverage, with
investors paying a premium for access to leverage. Systematic factor mispricing
is observed, and LETFs exhibit significant tracking errors. Shorting LETFs
proves profitable in ordinary market conditions. Pricing inefficiencies are larger
in LETFs than unleveraged ETFs and are influenced by benchmark movements.
LETFs pose challenges encompassing tracking errors, compounding effects, and
volatility decay, making them unsuitable for long-term investment. Regulatory
considerations and investor awareness are crucial for the healthy functioning of
financial markets. | en_US |
