Purpose – The purpose of this study is to understand the tracking errors of leveraged exchange-traded funds (LETFs) on gold and demonstrate improved tracking performance by dynamic portfolios of gold futures. Design/methodology/approach – The author formulates and solves a constrained...

Purpose: This paper aims to present a methodology for constructing cointegrated portfolios consisting of different cryptocurrencies and examines the performance of a number of trading strategies for the cryptocurrency portfolios. Design/methodology/approach: The authors apply a series of...

We present a multiscale analysis of the price dynamics of U.S. sector exchange-traded funds (ETFs). Our methodology features a multiscale noise-assisted approach, called the complementary ensemble empirical mode decomposition (CEEMD), that decomposes any financial time series into a number of...