Leveraged ETF daily reset and path decay
Compound long and inverse ETFs day by day to separate path effects from holding costs.

The idea · in two minutes

Jack gets the endpoint right, but the ETF may not return to par

The index rises 5% on day one and falls about 4.76% on day two, returning near its starting level. A 2× ETF compounds 1.10 then about 0.9048; it is not simply twice the index’s cumulative return. The inverse ETF also resets daily.

Jack wants to short both products and invest the proceeds in bills. The pair may look direction-neutral, but a sustained rally can sharply inflate the long ETF and create a large short loss. “Decay” is not a hedge against a one-sided move.

Rose separates ideal daily-reset arithmetic from real ETF holdings. Actual products add expense ratios, financing, tracking error, distributions, borrow fees, collateral yield, margin and termination provisions.

• 2× ETF path · +5%, −4.76%Daily ETF return is L times the index daily return; terminal NAV is the product of daily factors.
• Equal-notional pair shortEqual-notional pair P&L depends on each product’s own compounded path.
• Pair plus 4-day carry assumptionsThe illustration accepts annual borrow cost and collateral yield for both short legs.

Illustrative research examples only. They are not live signals or a recommendation.

The mechanics · payoff and exposure

V_T^{(L)}=V_0\prod_{t=1}^{T}(1+Lr_t),\qquad V_T^{(-L)}=V_0\prod_{t=1}^{T}(1-Lr_t)

r_t is the benchmark return on day t and L the daily target multiple. The simple NAV factors omit daily expenses, distributions and tracking error. For equal initial short notionals, pair gross P&L as a fraction of combined notional is −(R_L+R_{−L})/2.

Greeks: the directional intuition

Path and volatility

Measures sensitivity to implied volatility.

Leverage and rebalance

Measures sensitivity to implied volatility.

Short borrow and margin

Measures sensitivity to implied volatility.

Collateral and financing

Measures sensitivity to implied volatility.

V_T^{(L)}=V_0\prod_{t=1}^{T}(1+Lr_t),\qquad V_T^{(-L)}=V_0\prod_{t=1}^{T}(1-Lr_t)

Practical context · published observations

Leveraged ETF daily reset and path decay: read the record with its caveats.

The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.

這不是基金持倉資料、歷史交易或回測；不含 ETF 費用、分配、追蹤誤差、借券可得性、保證金追繳、提前終止或真實抵押品規則。反向產品極端單日報酬因子可能到零，頁面以零作下限。 Source ↗ · Methodology ↗