Measuring Longer-Horizon Leveraged ETF Performance
Key Insights
- Many investors hold leveraged exchange-traded funds (LETFs) for more than one day.
- Because these products reset leverage daily, their longer-horizon returns need not equal the stated leverage multiple times the underlying return.
- We explain this gap using a return identity that separates what we cal.
Show formatted citation
@misc{ acaciamarkets-research-measuring-longer-horizon-leveraged-etf-performance,
title = { Measuring Longer-Horizon Leveraged ETF Performance },
author = { SSRN },
year = { 2026 },
url = { https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7679821 },
note = {Summarized and classified by AcaciaFund}
}
TY - GEN TI - Measuring Longer-Horizon Leveraged ETF Performance AU - SSRN PY - 2026 UR - https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7679821 ER -
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Overview
Many investors hold leveraged exchange-traded funds (LETFs) for more than one day. Because these products reset leverage daily, their longer-horizon returns need not equal the stated leverage multiple times the underlying return. We explain this gap using a return identity that separates what we call the convexity bonus, volatility drag, and product costs.
We also discuss several common ways to measure LETF performance and highlight how these measures can produce misleading assessments of how re
Key Topics
- Market Microstructure: A theme covered by this item within the markets context.
- Quantitative Modeling: A theme covered by this item within the markets context.
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