Loviscek, Anthony; Tang, Hongfei; Xu, Xiaoqing Eleanor - In: Journal of Banking & Finance 43 (2014) C, pp. 29-47
Using the longest history of a U.S. equity market index, this paper simulates the return deviation and multiple deviation for Leveraged Exchange-Traded Products (LETPs) with different rebalancing frequencies, including daily, monthly, annually, and every five years, over various holding periods....