Solution-Triple-leveraged etfs, Underlying unlevered ETF

Triple-leveraged etfs

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Reference no: EM133071625

Triple-leveraged ETFs

Underlying unlevered ETF demonstrated the following path over a four day period:

Day	0	1	2	3	4
Price	100	110	100	90	100

Assuming risk-free rate of interest of zero for both lending and borrowing.

a. You are managing a 3X leverage ETF that targets 3 times the daily return of the underlying index. If the starting with a price of 100, what is the daily price?

Day	0	1	2	3	4
Price	100

b. You are managing a 3X leverage ETF that targets 3 times the daily return of the underlying index. If the starting with a price of 100, what is the daily position in the un-levered ETF and cash?

Day	0	1	2	3	4
Position in unlevered ETF	300
Position in cash	-200

Day	0	1	2	3	4
Rebal Trade in ETF
Change in Cash

Reference no: EM133071625

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Triple-leveraged etfs

Reference no: EM133071625

Reference no: EM133071625

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