Shorting Leveraged ETFs: Impact of Borrowing Costs and Rebalancing

01 ABSTRACT

Quantocracy's link roundup includes a Quantpedia article on shorting leveraged ETFs, noting that daily reset mechanisms create volatility decay. The article examines the roles of borrowing costs and rebalancing in volatility-decay strategies. This is only a link summary and provides no specific figures or backtest results.

02 KEY FINDINGS

1. Leveraged ETFs provide amplified exposure via daily reset, but the reset mechanism causes volatility decay.
2. Volatility-decay strategies shorting leveraged ETFs must consider borrowing costs and rebalancing effects.
3. The link is only a summary and lacks strategy performance or empirical details.