The Leveraged ETF exploits the market anomaly of a large change in the market index generating momentum in the same direction for leveraged ETFs. If the change is positive, a long ETF will experience increase in equity, and the ETF manager would need to increase its long position.
The DRN (real estate ETF) is used to track the MSCI US REIT index. A simple momentum strategy is structured to take advantage of leveraged ETF momentum.
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Investment Performance
Investment Return (?):
15.20%
Volatility (?):
8.20%
Sharpe Ratio:
1.80
Maximum Drawdown:
-4.5%
Investment’s Fundamental Concept:
Momentum strategies exploit a persistent market anomaly where past returns of a price series are positively correlated with future returns. A price series which was in an uptrend in the past tends to continue being in an uptrend in the future.
A large change in the market index generates momentum in the same direction for leveraged ETFs. If the change is postiive, a long ETF will experience increase in equity, and the ETF manager would need to increase its long position.
Investment’s Logic:
The DRN (real estate ETF) is used to track the MSCI US REIT index. A simple momentum strategy is structured to take advantage of leveraged ETF momentum.
A simple momentum trategy buys DRN if return from previous day’s close to 15 minutes before market close is greater than 2% and sell if return is smaller than -2%.
The strategy exits positions at the market close.
Other Investment Strategy Characteristics:
Investment Type:
Momentum Strategy
Investment Risk:
1/5 Very Low
Backtest Range:
30-40 years
Rebalancing period:
Intradayy
Investment Strategy Markets:
DRN (Real Estate ETF) representing MSCI US REIT index
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