Update on Shorting Leveraged ETF Pairs
February 28, 2020 - Short Selling, Volatility Effects
“Monthly Rebalanced Shorting of Leveraged ETF Pairs” finds that shorting some pairs of leveraged ETFs may be attractive. How has the strategy worked recently and how sensitive are findings to execution costs? To investigate, we consider three pairs of monthly reset equal short positions in: ProShares Ultra S&P500 (SSO) and ProShares UltraShort S&P500 (SDS) ProShares… Keep Reading