AIM 11 Levered and inverse products

Levered and inverse (Lx) products structured from partially collateralized futures or total rate of return swap positions .

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• Required reading​

  • Pessina and Whaley 2021 Levered and inverse funds: Blessing or curse? - FAJ​

  • O'Neill and Whaley 2023 Effects of nondiscretionary trading on futures prices - JFM  (pp. 37-39)​

  • Baer and Kiernan 20200130 Leveraged-ETF seller urges investors to fight proposed regulation - WSJ​

  • Kiernan 20201020 SEC shelves measure to protect investors in leveraged ETFs - WSJ

  • Wursthorn 20201129 Investors pile into risky ETFs during wild market rally - WSJ

  • Tsekova 20220227 Wall Street's risky 'razor blade' trade is making a comeback - Businessweek

  • SEC 20220711 Statement of single-stock levered and/or inverse ETFs

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• Video

  • ​Watch ETFs That Short Markets Are Quietly Booming - Bloomberg

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• ​Lecture notes

  • ​Slides

    • Support files:

      • Levered and inverse ETPs 20231229.xlsx

      • LI silliness calculator.xlsx

      • VIXY-UVXY-SVXY.xlsx

      • DWT vs UWT.xlsx

      • TSLL vs TSLA.xlsx

      • LI ETPs (one price path).zip (unzip .xlsm file)

      • LI ETPs (full simulation).xlsx (open using @Risk)