英文标题：
《The Golden Target: Analyzing the Tracking Performance of Leveraged Gold
  ETFs》
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作者：
Tim Leung and Brian Ward
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最新提交年份：
2015
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英文摘要：
  This paper studies the empirical tracking performance of leveraged ETFs on gold, and their price relationships with gold spot and futures. For tracking the gold spot, we find that our optimized portfolios with short-term gold futures are highly effective in replicating prices. The market-traded gold ETF (GLD) also exhibits a similar tracking performance. However, we show that leveraged gold ETFs tend to underperform their corresponding leveraged benchmark. Moreover, the underperformance worsens over a longer holding period. In contrast, we illustrate that a dynamic portfolio of gold futures tracks significantly better than various static portfolios. The dynamic portfolio also consistently outperforms the respective market-traded LETFs for different leverage ratios over multiple years.
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中文摘要：
本文研究了黄金杠杆ETF的实证跟踪性能，以及它们与黄金现货和期货的价格关系。为了追踪黄金现货，我们发现我们的短期黄金期货优化投资组合在复制价格方面非常有效。市场交易的黄金ETF（GLD）也表现出类似的跟踪表现。然而，我们发现，杠杆式黄金ETF的表现往往低于相应的杠杆基准。此外，在更长的持有期内，表现不佳的情况会恶化。相比之下，我们说明了黄金期货的动态投资组合比各种静态投资组合的跟踪效果要好得多。在不同的杠杆率下，动态投资组合多年来的表现也始终优于各自的市场交易LETF。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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