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*This article assumes the reader understands how inverse and leveraged ETFs work* Zhang’s 2010 paper, Path-Dependence Properties of Leveraged Exchange-Traded Funds: Compounding, Volatility and Option Pricing, gives a closed-form formula for estimating the decay of leveraged & inverse etfs. The formula: … [1.0] t=time in years (t=1 means one year) b=is the leverage factor (typically… Continue reading Estimating the decay parameters of leveraged & inverse etfs