DOES LEVERAGE PAY OFF? THE CASE OF EQUITY-LEVERAGED MUTUAL FUNDS
In this study we examine the risk-adjusted performance of a sample of U.S.-based enhanced index mutual funds that use leverage with the goal of generating return-multiples of its benchmark. We study equity-leverage funds that follow four major market indices, that is the Dow Jones Industrial Avera...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Tuwhera Open Access Publisher
2023-10-01
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| Series: | Applied Finance Letters |
| Online Access: | https://ojs.aut.ac.nz/applied-finance-letters/article/view/675 |
| _version_ | 1797665699908288512 |
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| author | Javier Rodriguez Herminio Romero |
| author_facet | Javier Rodriguez Herminio Romero |
| author_sort | Javier Rodriguez |
| collection | DOAJ |
| description |
In this study we examine the risk-adjusted performance of a sample of U.S.-based enhanced index mutual funds that use leverage with the goal of generating return-multiples of its benchmark. We study equity-leverage funds that follow four major market indices, that is the Dow Jones Industrial Average (Dow), the NASDAQ-100, the Russell 2000 and the Standard and Poor's 500. We consider two model specifications and different market conditions. The evidence shows that these funds fail to outperform. This is particularly true during Bull markets.
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| first_indexed | 2024-03-11T19:48:51Z |
| format | Article |
| id | doaj.art-cc73405f7c2a45b5bceb68c7c8399a6d |
| institution | Directory Open Access Journal |
| issn | 2253-5799 2253-5802 |
| language | English |
| last_indexed | 2024-03-11T19:48:51Z |
| publishDate | 2023-10-01 |
| publisher | Tuwhera Open Access Publisher |
| record_format | Article |
| series | Applied Finance Letters |
| spelling | doaj.art-cc73405f7c2a45b5bceb68c7c8399a6d2023-10-05T19:50:03ZengTuwhera Open Access PublisherApplied Finance Letters2253-57992253-58022023-10-01121DOES LEVERAGE PAY OFF? THE CASE OF EQUITY-LEVERAGED MUTUAL FUNDSJavier Rodriguez0Herminio RomeroUniversity of Puerto Rico - Río Piedras In this study we examine the risk-adjusted performance of a sample of U.S.-based enhanced index mutual funds that use leverage with the goal of generating return-multiples of its benchmark. We study equity-leverage funds that follow four major market indices, that is the Dow Jones Industrial Average (Dow), the NASDAQ-100, the Russell 2000 and the Standard and Poor's 500. We consider two model specifications and different market conditions. The evidence shows that these funds fail to outperform. This is particularly true during Bull markets. https://ojs.aut.ac.nz/applied-finance-letters/article/view/675 |
| spellingShingle | Javier Rodriguez Herminio Romero DOES LEVERAGE PAY OFF? THE CASE OF EQUITY-LEVERAGED MUTUAL FUNDS Applied Finance Letters |
| title | DOES LEVERAGE PAY OFF? THE CASE OF EQUITY-LEVERAGED MUTUAL FUNDS |
| title_full | DOES LEVERAGE PAY OFF? THE CASE OF EQUITY-LEVERAGED MUTUAL FUNDS |
| title_fullStr | DOES LEVERAGE PAY OFF? THE CASE OF EQUITY-LEVERAGED MUTUAL FUNDS |
| title_full_unstemmed | DOES LEVERAGE PAY OFF? THE CASE OF EQUITY-LEVERAGED MUTUAL FUNDS |
| title_short | DOES LEVERAGE PAY OFF? THE CASE OF EQUITY-LEVERAGED MUTUAL FUNDS |
| title_sort | does leverage pay off the case of equity leveraged mutual funds |
| url | https://ojs.aut.ac.nz/applied-finance-letters/article/view/675 |
| work_keys_str_mv | AT javierrodriguez doesleveragepayoffthecaseofequityleveragedmutualfunds AT herminioromero doesleveragepayoffthecaseofequityleveragedmutualfunds |