Solving the Return Deviation Conundrum of Leveraged Exchange-Traded Funds
构建了一个清晰统一的框架，解释杠杆ETF实际回报与标的指数杠杆倍数之间的偏差来源和决定因素，帮助投资者和监管者理解其回报行为。
Abstract The large deviation of the actual return of a leveraged exchange-traded fund (LETF) from the leveraged multiple of the underlying index return has drawn considerable attention from investors, regulators, and the financial media. Despite this attention, the sources and fundamental determinants of the LETF return deviation remain unidentified. This study constructs a clear, unified, objective, and executable framework that addresses the behaviors, sources, and determinants of the LETF compounding and noncompounding deviations. Our theoretical predictions and empirical results hold the promise of guiding investors, regulators, financial advisors, and portfolio managers toward a thorough understanding of the return behavior of LETFs.