Questions tagged [leverage]
The leverage tag has no usage guidance.
22
questions with no upvoted or accepted answers
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Optimal f (position sizing) without look ahead bias
My goal is to identify a systematic way to position sizing in the futures market. Let assume that I'm an investor with log utility. In addition, let assume that I'm reluctant in estimating the ...
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81
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Leverage of various option types
Does the standard European option calculation of leverage,
Embedded Leverage = Delta times (Underlying price/Option price)
change across the various option ...
- 2,111
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108
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What does leverage lower than 1 means for ETFs
I've recently noticed in my IB terminal that many ETFs have leverage lower than 1. I understand that some ETFs have leverage higher than 1 for example TQQQ because ...
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How exactly does "arranged financing" work?
Prime brokers offer what is called "arranged financing" which allows hedge funds to gain maximum leverage - more than allowed under the Portfolio Financing platform. I understand there is an element ...
- 21
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Why do leveraged and inverse leveraged WTI ETNs have this price relationship?
UWTI: 3x leveraged exposure to WTI
DWTI: 3x leveraged inverse exposure to WTI
The inverse relationship between these two symbols seems to trend toward the origin on a log-log plot (using log base 2)....
- 21
2
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80
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Collateralized Loan Obligation - reliable source of information
Can someone provide me with some reliable source of information about CLOs? Especially some scientific articles etc. Google or wiki are good for starters and I would like to get some examples, ...
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37
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Application of Leverage in Different Interest Rate Environments to an Efficient Portfolio
I have read that some Institutional Investors are utilizing leverage. According to Modern Portfolio Theory, to apply leverage one would:
a) find the tangency portfolio on the efficient frontier from ...
- 6,492
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55
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Does it make sense to have an allocation to short term fixed income and a leveraged or unfunded position?
This may sound like a basic question but I have seen many large institutional investors have this as part of their asset allocation and am wondering why they do this?
Does it make sense to have a ...
- 6,492
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why does forex platforms provide high leverage but shares and others dont
I have been looking at a few forex platform and they provide high leverage with overnigh fees close to LIBOR. The same is not true for shares on stocks and they provide 5x leverage with higher ...
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39
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Why is it impossible that an investor buys only securities in levered firm?
On page 5 of this slide deck, it says that if the value of levered firm is smaller than the unlevered one, then investor buys only securities in levered firms (which is understandable) and hence value ...
- 227
1
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1
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856
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Leverage constraints
I am trying to complete my project on Mean-Variance Leverage Optimization, and I have found lots of helpful advice on this forum.
I wanted to ask you if you have some idea on how to implement a ...
- 51
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384
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How to calculate leveraged ETF rebalancing?
So let's say that we have a market-cap weighted ETF (free-floating shares) that tracks an index comprised of stocks A and B. Stock A has a share price of $$10 and there are 100 outstanding shares and ...
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Running regression to analyse how leverage changes around
I am running a single variable regression with BHAR returns as independent variable and Leverage as dependent variable.
I would like to analyse does the leverage 1 year prior to IPO and 1 year after ...
- 11
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126
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Long Term investment in leveraged ETFs not necessarily bad?
I have conducted very much research about leveraged ETFs lately. Most sources specifically say that these instruments are not meant for long-term investments and that they are very risky due to the ...
- 93
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450
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How can factor certificates achieve constant leverage?
How does a bank which offers a factor certificate with unlimited maturity, e.g. a certificate which promises the holder to change in value in a constant proportion with respect to a change in the ...
- 163
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100
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How to properly calculate leveraged returns
Imagine we have a certain price movement, where the price starts at 1000 and ends at 1200, with some fluctuations in the middle. For the sake of the example, imagine it's hourly timestamps, and it's a ...
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How to understand Short Gamma and Long Volatility for Leveraged ETFs?
In the book Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation, it describes a static delta-hedged long volatility position by simultaneously shorting regular/inverse leveraged ETFs ...
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Pricing of constant leverage certificates
I am trying to value the open-ended constant leverage certificates like Bull DAX 20x. As the certificates are reset daily with the movements of the underlying asset, how could they be modeled for ...
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Hedge Fund Leverage - FX exposure
how is leverage calculated for hedge funds that follow a global macro strategy. Specifically interested in knowing the FX exposure- forwards or spots. If it’s just Longs+Shorts, then leverage would be ...
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What does the fee of leveraged ETF include?
I am really confused by how were fees of leveraged etf like SPUU calculated.
0.64% is quite costly for a index based ETF. I wonder is the cost a pure cost or does it include the cost of interest?
The ...
- 341
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1
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237
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Leverage and Tracking difference
I am a little confused. I have calculated the tracking difference of an Index and an ETF using the return getting 0,4% tracking difference per year. I have then leveraged both, the Index and the ETF ...
- 11
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780
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Examples of risk-seeking utility functions?
In the past, most literature assumed a risk-averse investor to model utility preferences. This includes the CRRA and CARA utility functions.
In recent papers, researchers state that investors may be ...
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