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You are confusing the "Total Return" with "Price Return" You didn't put up the ticker for the related index but I assume you are looking at the price return. The future's market value will increase as the dividends are paid out. The index you are using is most likely the price return index, which doesn't include the effect of the ...


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MSCI World futures are traded nearly 24 hours, while the index constituents only update their prices when their local country stock markets are open - typically this means 1/3 to 2/3 of the index constituent prices are actively updating, the rest are frozen at their last close price. The futures price can be thought of as the market’s guess at the true index ...


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Yes, your table is correct... the proverbial "catch" is in your assumptions of small gains, with nil volatility. Because volatility is itself the catch with levered strategies in general (and levered ETFs very specifically). Replicate these 1% returns with a 14.14% standard normal deviation, for a thousand, million, billion runs. Your 1% compound ...


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For a leveraged ETF, with a a leverage of $L$, then the value of the ETF is: $$ \mathrm{ETF}_{t_n} = \mathrm{ETF}_{t_0} \cdot \Pi_{i=1}^{i=n} \left[ 1+L\left(\frac{S_{t_i}}{S_{t_{i-1}}}-1\right) - f \cdot \mathrm{DCF}(t_{i-1}, t_i)\right]$$ where $t_i$ are the dates on which the ETF rebalances to restore the leverage. $f$ is the ETF management fee, and $\...


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Assume a portfolio value (i.g. 100.000), find the value invested in each specific stock (if weight company X is 20% then we invest 20.000 in that stock), based on the price at that day you find the number of stocks invested (assume price 5, then we invested 20.000/5=4000 stocks). Once you have the exact number of stocks you invested in the portfolio for each ...


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Hate to disappoint, but you're going to need to pay to get delisted securities. Even basic equity price data of any quality comes with a cost. There are a number of non-commercial vendors that include this sort of data with one of their packages though. For instance, a vendor like Quandl (one of the cheapest, but still OK quality) offers packages for US ...


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If I go to barchart.com, I can get the volume-weighted average price (aka VWAP, under "+Study") added to any graph. The VWAP is just the notional (trade price*trade volume) divided by the total volume. Furthermore, the VWAP is more useful than the total notional traded.


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There is more than one way to approach this. Given your comment that this is a small strategy in a larger account, I assume that you are testing it and, if it bears enough fruit, you may want to scale it up. You should assume some starting value. I'm going to assume a number that's equal to your initial nominal value (as you requested in your comment). ...


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