proposed by us in 2017 paper as a leveraged ETF alternative to classical stocks/bonds portfolios performed well in 2018 and …

depending on the bench-marking approach. We conclude that ETF investors may be better off, as a whole, by concentrating on a … estimate the aggregate cost to ETF investors from investing in dominated funds to be $1.1 billion to $17.5 billion since 2000 …

with monthly rebalancing proposed by us in the 2017 paper as a leveraged ETF alternative to classical stocks …

We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non … how to build an ETF taxonomy using ETF constituent data. A multilevel ETF taxonomy can also be constructed by … appropriately augmenting and expanding well-built and granular third-party single-level ETF groupings …

We find that hedge funds’ ETF option positions predict cross-sectional differences in the future volatility of … based on funds’ straddle positions earns quarterly abnormal returns of 7.35%. Net of fees, funds using ETF straddles deliver … lower risk and higher benchmark-adjusted returns than nonusers. We also find that hedge funds’ trading in ETF options has a …