RT Journal Article
SR Electronic
T1 Leveraged Index Investing
JF The Journal of Investing
FD Institutional Investor Journals
SP 81
OP 91
DO 10.3905/joi.2003.319538
VO 12
IS 1
A1 Scott D. Below
YR 2003
UL https://pm-research.com/content/12/1/81.abstract
AB This evaluation of the long-run performance of leveraged index investing uses Rydex Nova Fund as a proxy. The results of a regression model are used to predict the fund's performance from 1950 through the time it was actually established in 1993. A Monte Carlo simulation suggests that the probability of outperforming the underlying index goes to one as the holding period goes to infinity. The volatility of the underlying index and the geometric nature of returns means that the return magnification achieved by leveraged funds over time will be lower than the fund's daily target magnification.