Beta Estimates for Leveraged ETF
Abstract
Leveraged ETF are mandated to provide a multiple of the return on an index for intraday time periods. I present statistical estimates of beta for two leveraged ETF and one index at sampling rates from one to twenty five minute sampling. I find that beta is close to the leverage factor for sampling rates between ten and twenty five minutes, which suggests the assets are being well priced.
Fields of Study & Subjects
Financial Markets and Investment Strategies
Monetary Policy and Economic Impact
Stochastic processes and financial applications
Publication details
- Journal / source
- SSRN Electronic Journal
- Publisher
- Elsevier BV
- Publication date
- 1 January 2026
- Language
- EN
- Document type
- Preprint