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Comparative analysis of leveraged investment strategies: a Monte Carlo approach
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| 1.33 MB | Adobe PDF |
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Resumo(s)
This work aims to explore the application of leverage through investing in leveraged exchange traded funds (LETFs) and through the use of margin. By artificially constructing and
retrospectively analyzing global ETFs, this research employs bootstrapped Monte Carlo
simulations to evaluate the performance and risk measures of these instruments over a
comprehensive historical timeframe. Despite the inherent risks associated with leveraged
instruments, our findings suggest the potential for enhanced profitability without proportionately
increasing risk, particularly when using margin strategies.
Descrição
Palavras-chave
Leveraged etfs Margin investing Backtesting Investment strategies Risk-reward analysis Bootstrapped Monte Carlo simulation