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Leveraged Long ETFs Tracking France's CAC 40 index: Quantitative Analysis of Rebalancing, Price Deviations and Tracking Errors.

de Ghellinck, Gilles
(2019)

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deGhellinck_83591600_2019.pdf
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Details

Supervisors
Zhang, Yue
Faculty
Louvain School of Management
Degree label
Master [120] en ingénieur de gestion
Abstract
This thesis aims to explain and understand the workings of Leveraged Exchange Traded Funds on a broad level and contributes to the growing literature on Exchange Traded Funds. It does so in three parts. First, the thesis gathers all the theory on Exchange Traded Funds and Leveraged Exchange Traded Funds. It then goes on to a literature review of the previous analyses done on leveraged exchange traded funds. Finally, it aims to confirm or infirm the previous literature regarding this type of funds by analyzing empirically the rebalancing, price deviations and tracking errors of the Leveraged Exchange Traded Funds that follow France's CAC 40 index.