This paper examines the performance of investment strategies involving leveraged and inverse leveraged ETF pairs. As in Jiang and Peterburgsky's (2017) simulation analysis, the empirical analysis in this paper indicates that simple portfolios of bull/bear short positions constructed to...

We analyze trading strategies involving triple-leveraged and inverse triple-leveraged ETF pairs by simulating daily returns over a 48 year period. Our results show that many such strategies significantly outperform the S&P 500 on a risk-adjusted basis. The Sharpe ratio appears to be maximized...