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1 Q3. Triple-leveraged ETFs 2 Underlying unlevered ETF demonstrated the following path over a four day period: 3 Day 4 Price 100 110 100 90
1 Q3. Triple-leveraged ETFs 2 Underlying unlevered ETF demonstrated the following path over a four day period: 3 Day 4 Price 100 110 100 90 100 5 6 Assuming risk-free rate of interest of zero for both lending and borrowing. 7 8 a You are managing a 3X leverage ETF that targets 3 times the daily return of the underlying index. If the starting with a price of 100, what is the daily price? 9 10 Day 11 Price 100 12 13 b. You are managing a 3X leverage ETF that targets 3 times the daily return of the underlying index. If the starting with a price of 100, what is the daily position in the un-levered ETF and cash? 14 Day 300 Position in unlevered ETF 15 Position in -200 16 cash 17 18 Day Rebal Trade in 19 ETF Change in 20 Cash 1 Q3. Triple-leveraged ETFs 2 Underlying unlevered ETF demonstrated the following path over a four day period: 3 Day 4 Price 100 110 100 90 100 5 6 Assuming risk-free rate of interest of zero for both lending and borrowing. 7 8 a You are managing a 3X leverage ETF that targets 3 times the daily return of the underlying index. If the starting with a price of 100, what is the daily price? 9 10 Day 11 Price 100 12 13 b. You are managing a 3X leverage ETF that targets 3 times the daily return of the underlying index. If the starting with a price of 100, what is the daily position in the un-levered ETF and cash? 14 Day 300 Position in unlevered ETF 15 Position in -200 16 cash 17 18 Day Rebal Trade in 19 ETF Change in 20 Cash
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