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  • Is it Time to Reverse Split the Direxion ETFs?

    By now, the behavior of levered ETFs have been very widely document, commented and studied. A common property of the levered ETFs is that they will tend to lose money over time due to a drag on the volatilty. Specifically, if the arithmetic returns (e.g. daily) is ra, and the volatility is v, then the longer term realized geometric returns (e.g. monthly, quarterly etc) rg will be governed by rg = ra – ½ v2 .

    To see some examples of this effect, consider the Since-Inception returns (from the Direxion website) as of Mar 31st 2009 of a few of the more volatile products:
     
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    Tags: ERX, ERY, FAS, FAZ, TNA, TZA, EDC, EDZ
    May 12 05:26 pm | Link | Comment!
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