레버리지 및 인버스 ETF를 활용한 차익거래전략

Abstract

This study investigates the decay phenomenon of leveraged and inverse ETFs in their holding period returns. Multi-day holding period returns of these ETFs often lag behind the respective holding period return of the underlying index times the target multiples. Such a phenomenon has been widely reported in the U.S. since the financial crisis of 2008. We observe a similar phenomenon in the KRX-listed leveraged and inverse ETFs during the recent four-year period. We also find a systematic under-hedging bias in both rising as well as declining market conditions. To exploit the observed decay phenomenon, we construct several investment strategies that include shorting leveraged and inverse ETFs. Our goal is to see if such strategies are economically significant enough to generate a profit after taking into account major cost factors. Finally, we investigate some factors that can explain and thus potentially predict the performance of the long/short investment strategies we experimented. Since the profits from such schemes are mostly generated by the negative compounding effect of the time series of the underlying index, we look at the significance of the several indicator measures such as the reversal of the direction of the market movements and the autocorrelation of the rates of return series of the underlying index. The size of the profit is shown to be increasing with the volatility of the underlying index.