Matthew Holzhauer, Hunter; Lu, Xing; W. McLeod, Robert; … - In: Managerial Finance 39 (2013) 12, pp. 1169-1187
Purpose – This study aims to look into how volatility significantly impacts the tracking error for daily-rebalanced leveraged bull and bear ETFs. Design/methodology/approach – Using Morningstar return data and Chicago Board Options Exchange (CBOE) volatility index (VIX) data, the paper...
