Leveraged funds: robust replication and performance evaluation
研究了杠杆和反向交易所交易基金在比例交易成本下的最优复制策略，发现该策略对指数动态稳健，并提出了一个用于比较不同指数因子基金绩效的充分统计量——隐含价差。
Leveraged and inverse exchange-traded funds seek daily returns equal to fixed multiples of indexes' returns, but the ensuing rebalancing costs create a tension between a high correlation with the index and a low average deviation from the leveraged index' performance. With proportional trading costs, we find that the optimal replication policy is robust to the index' dynamics and obtain a sufficient statistic for index replication performance, the implied spread, which is insensitive to risk-premia and enables comparisons of funds tracking different factors of an index. Overall, the impact of trading costs on replication performance is comparable to or higher than the effect of management fees.