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TRACKING ERROR OF LEVERAGED AND INVERSE ETFS
Title
TRACKING ERROR OF LEVERAGED AND INVERSE ETFS.
Creator
Romano, John, Gilkeson, Jim, University of Central Florida
Abstract / Description
Tracking ability of leveraged and inverse exchange traded funds can be very important to investors looking for a dependable return. If the investor wants to put their money on a certain index they feel strongly about, they expect their investment vehicle to track that return appropriately. Over the years, we have seen tremendous growth in the exchange traded fund industry. In 2006, leveraged and inverse funds were introduced to the market, allowing investors to take leveraged and directional...
Show moreTracking ability of leveraged and inverse exchange traded funds can be very important to investors looking for a dependable return. If the investor wants to put their money on a certain index they feel strongly about, they expect their investment vehicle to track that return appropriately. Over the years, we have seen tremendous growth in the exchange traded fund industry. In 2006, leveraged and inverse funds were introduced to the market, allowing investors to take leveraged and directional trades on indices. These investment vehicles can be traded as easily as any stock, and therefore need some attention. Since any novice investor can access and trade these funds, they need to be aware of the risks they are taking. In this study, I test whether the ProShares S&P tracking leveraged and inverse exchange traded funds track their appropriate index multiple as promised. I did this by running regressions on each fund against the appropriate multiple of their underlying indices. I did this for funds of different market capitalization, for different holding periods, and with different amounts of leverage, to compare how these funds track in different conditions. I found that the large cap funds tend to track the best, with the small cap funds tracking the worst. I also find that tracking error tends to increase with longer holding periods. I find that the distribution of excess returns becomes less normal over longer holding periods, and begins to flatten out and widen. There does not seem to be a concrete conclusion as to whether or not the amount of leverage affects the tracking ability of the funds. I end up with mixed results when comparing amounts of leverage by model fit and by tracking error. Direction also does not seem to play any role in the tracking ability of these funds.
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Date Issued
2012
Identifier
CFH0004184, ucf:44893
Format
Document (PDF)
PURL
http://purl.flvc.org/ucf/fd/CFH0004184
Settlement History and Interaction in the Manialtepec Basin of Oaxaca's Central Coast
Title
Settlement History and Interaction in the Manialtepec Basin of Oaxaca's Central Coast.
Creator
Menchaca, Victoria, Barber, Sarah, Walker, John, Chase, Arlen, University of Central Florida
Abstract / Description
As the focus of over 70 years' of archaeological research, Oaxaca, Mexico, is one of Mesoamerica's best understood regions. Yet, despite the volume of work in Oaxaca, information about one of its key resource areas, the central Pacific coast, remains limited. Specifically, the ambiguous role of Oaxaca's Central Coast in interregional relationships during pre-Hispanic times to the sites of Monte Alb(&)#225;n and Tututepec has been a chronic problem and major source of debate for decades. The...
Show moreAs the focus of over 70 years' of archaeological research, Oaxaca, Mexico, is one of Mesoamerica's best understood regions. Yet, despite the volume of work in Oaxaca, information about one of its key resource areas, the central Pacific coast, remains limited. Specifically, the ambiguous role of Oaxaca's Central Coast in interregional relationships during pre-Hispanic times to the sites of Monte Alb(&)#225;n and Tututepec has been a chronic problem and major source of debate for decades. The purpose of this thesis is to begin clarifying the role of Oaxaca's Central Coast in interregional networks and its pre-Hispanic history. Analysis utilized surface observations, surface collections, and information from limited excavations performed by the Proyecto Arqueol(&)#243;gico Laguna de Manialtepec (PALM) in the Manialtepec Basin, located on the Central Coast of Oaxaca. The data was then mapped using ArcGIS software to render settlement and artifact patterns. Based on the results of this project I suggest a history of settlement for this area. I also argue that the Basin contained three centers, maintained interregional interactions, and was invaded by the Mixtecs of highland Oaxaca during the Late Postclassic Period (A.D. 1200-1500).
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Date Issued
2015
Identifier
CFE0005843, ucf:50920
Format
Document (PDF)
PURL
http://purl.flvc.org/ucf/fd/CFE0005843