This paper proposes a two-step approach to build portfolio models. The first step employs
the Data Envelopment Analysis (DEA) to select assets attaining efficient financial …

Purpose–The purpose of this study is to understand the tracking errors of leveraged
exchange-traded funds (LETFs) on gold and demonstrate improved tracking performance by …

Commodity exchange-traded funds (ETFs) are a significant part of the rapidly growing ETF
market. They have become popular in recent years as they provide investors access to a …

Abstract Exchange Traded Funds (ETFs) are one of the fastest growing areas of investing
and have significantly changed investor behavior, yet there is limited academic research on …

This article focuses on the performance and volatility of leveraged Exchange Trade Funds
(ETFs) investing in stock indices from emerging markets. A sample of 12 leveraged and 11 …

This paper analyzes a relatively new investment product named as constant leverage
certificate (CLC), which is designed to provide a multiple of the return of its underlying asset …

In this article, Rompotis investigates the third generation of exchange-traded funds (ETFs)
using data from a sample of 37 so-called short ETFs, which seek to achieve two or three …

This paper presents the first study on the measurement of tracking errors using daily figures
for gold exchange-traded funds (ETFs) in China. Three methods are employed to measure …

This article examines the performance of US commodity ETFs using data for a sample of 40
funds over the period 2014–23. We consider daily, weekly, monthly, and annual returns …

Levered exchange-traded products have been criticized as offering inferior long-term returns
for two reasons: their higher volatility and, apparently, the belief that volatility diminishes …