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Here couple ETFs that may satisfy what you are looking for: http://www.quant-shares.com/etf-list/ http://www.etc.db.com/GBR/ENG/Institutional/Downloads/ISIN/Factsheets/GB00B4N0QN94 http://guggenheiminvestments.com/products/etf/wmcr http://etfdb.com/type/investment-style/high-beta/ Those include ETFs with a momentum approach, mean-reversion approach, ...

I would look to run a pre-optimization routine over the whole universe of 200+ ETFs. I would use this pre-optimization to reduce the universe to a cardinality that provides optimal diversification effects. You can do that by first looking at pair-wise correlations and then also run optimizations to reduce portfolio variance by utilizing the covariance ...

Even in a perfect world, a 3X leveraged ETF cannot achieve a compound return three times that of the underlying. In the case of periodic discrete rebalancing, we call this effect the "arithmetic of loss and recovery," but even in the limit of continuous rebalancing, this effect does not disappear. Ito's formula tells us that $$\mathrm d ...

The key reason why you observe divergent performance patterns is related mostly to the following: The biggest reason is the different cost to hedge those products. The costs to implement and especially maintain the hedge on the long vs short side can be very different. Either the hedge is implemented through an index replication in which case the manager ...

There are three prices to consider when discussing an ETF: the ideal price as represented by the index, the NAV of the fund based on that day's holdings, and the market value traded on a stock exchange. This third price is what you see. In your example, Russell has calculated a cap-weighted value based on the annual membership. Direxion then determines ...

When I select assets for a portfolio given an universe, I tend to pick ones that span the beta spectrum, given your selected benchmark. I find that if your portfolio of assets have varying volatility or correlation, you can achieve better diversification. I didn't come up with the idea but it comes from a rotational system's framework from the link below: ...