I had also played around with the leverage while creating this and was pleasantly surprised. I only had from 2005-fwd on PV, but QLD was in kind of a 'sweet spot' for this period (I'm guessing 2002 would not have been as kind ;) LINK: https://tinyurl.com/7h3syxmr
yeah, using leverage was a straightforward improvement... btw, simulating these leveraged ETFs before inception is simple: just take the daily returns of SPY (or any other base asset), multiply by the leverage you want to get its leveraged daily returns, then reconstruct the equity line (+1 then cumprod)
I had also played around with the leverage while creating this and was pleasantly surprised. I only had from 2005-fwd on PV, but QLD was in kind of a 'sweet spot' for this period (I'm guessing 2002 would not have been as kind ;) LINK: https://tinyurl.com/7h3syxmr
yeah, using leverage was a straightforward improvement... btw, simulating these leveraged ETFs before inception is simple: just take the daily returns of SPY (or any other base asset), multiply by the leverage you want to get its leveraged daily returns, then reconstruct the equity line (+1 then cumprod)
Wow, great analysis! Thanks for engaging with the paper and the suggestions for improvement (I am the author).
Thanks, Tom! Great job! I just tagged you in the article! If you ever want to develop something together, just let me know. Cheers!
Always great ideas :)
Crushed it! Great job