Constant leverage certificates: dynamics, performance, and risk-return characteristics

IF 3.2 Q1 BUSINESS, FINANCE Quantitative Finance and Economics Pub Date : 2020-11-20 DOI:10.3934/qfe.2020032
Vladimir Anić
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引用次数: 1

Abstract

This paper analyzes a relatively new investment product named as constant leverage certificate (CLC), which is designed to provide a multiple of the return of its underlying asset on a daily basis. Based on the literature on leveraged ETFs, which have a similar design, it is well-known that such a strategy does not reproduce the corresponding multiple of the underlying in the long run. But due to the typically much larger leverage factors of CLCs compared to leveraged ETFs, it is questionable whether many of the results found for leveraged ETFs can be applied to these certificates as well. Against this background, I study the drivers of the long-term deviation of the product return from the leveraged return of the underlying, test a generalized version of the theoretical long-term return model originally developed for leveraged ETFs with a simulation study, and analyze the return distribution based on the theoretical model and empirical data. In contrast to prior literature, my results indicate that the effect of compounding is much more pronounced than the noncompounding deviation also for short-term investment periods. The theoretical model, however, is relatively accurate despite much larger leverage factors.
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恒杠杆证书:动态、绩效和风险收益特征
本文分析了一种相对较新的投资产品,即恒杠杆证(CLC),它的目的是提供其标的资产的日收益的倍数。基于杠杆etf的文献,其设计类似,众所周知,这种策略不能在长期内复制相应的基础倍数。但由于与杠杆etf相比,clc的杠杆因素通常要大得多,因此杠杆etf的许多结果是否也适用于这些证书,这是值得怀疑的。在此背景下,我研究了产品收益长期偏离标的杠杆收益的驱动因素,通过模拟研究对原来针对杠杆etf开发的理论长期收益模型进行了广义化检验,并结合理论模型和实证数据对收益分布进行了分析。与先前的文献相反,我的结果表明,在短期投资期间,复利的影响比非复利偏差要明显得多。然而,理论模型是相对准确的,尽管更大的杠杆因素。
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来源期刊
CiteScore
0.30
自引率
1.90%
发文量
14
审稿时长
12 weeks
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