asymmetric skewed t copula statistically outperforms symmetric copulas when it comes to modelling ETF returns dependence. The … copula model (NNC) is introduced in order to capture the dependence structure across ETF returns. Based on the above, weekly …

This study shows that exchange-traded fund (ETF) misvaluation — based on return differentials between ETFs and their … primarily from the ETF, rather than the NAV price. Excess comovements are greater for funds with high commonality in demand …

proposing to take long positions on “short assets” (e.g. inverse ETF), thereby considering short positions as active investment …

bonds are a key determinant of an ETF's underperformance. We conclude that indexes consisting of bonds that are more costly …

We analyze trading strategies involving triple-leveraged and inverse triple-leveraged ETF pairs by simulating daily …-adjusted basis. The Sharpe ratio appears to be maximized when shorting the bear triple-leveraged ETF and the bull triple …-leveraged ETF in a 2:1 proportion, and simultaneously holding Treasuries long. In this case we find that the average annual Sharpe …

holding ETF positions and AMMF performance, as well as indirect measures of performance, including market timing, flow … management, and cash holdings. We find that over one-third of AMMFs take an ETF position between 2004 and 2015. Our results … hold ETFs in small amounts have similar characteristics to non-user AMMFs. Therefore, the act of holding an ETF does not …

This paper examines the performance of investment strategies involving leveraged and inverse leveraged ETF pairs. As in …