레버리지 ETF의 가격 및 성과 분석

This study empirically analyses the pricing efficiency and performance of the leveraged ETFs in Korea. This analysis employs the disparate ratio, tracking error and Sharpe ratio using daily data from 2/20/2010 to 1/31/2013. The sample is selected Leveraged ETFs listed during the period. The main results are as follows. First, the disparate ratio, which is defined as the difference between leveraged ETFs' price and NAV, is generally small, large premiums or discounts are prone to occur. In addition, leveraged ETFs trade at a discounts or a slight premium to their NAV and discounts are observed more frequently than premiums. And the premium of leveraged ETFs are all negatively correlated with the returns on their benchmarks index, KOSPI 200. Second, the average tracking error of leveraged ETFs are negative value and considered statistically significant except one day. Also, the longer the holding period, the tracking error was also greater. Third, with respect to tracking error of leveraged ETFs, the results of regression analyses suggest that ETFs are not successful in delivering the promised returns. But the difference is fairly small and may be acceptable. Fourth, the Sharpe ratio of the leveraged ETFs are slightly lower than for the relevant benchmark index, KOSPI 200. From these results, we infer that the leveraged ETFs did not effectively track the benchmark index and is inadequate as a means of long-term investment.