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Leveraged Funds: Robust Replication and Performance Evaluation

The department of Mathematics and Statistics at the University of Limerick invites you to a seminar by Dr Eberhard Mayerhofer (University of Limerick)

Title: Leveraged Funds: Robust Replication and Performance Evaluation

Abstract: Leveraged and inverse exchange-traded funds seek daily returns equal to fixed multiples of indexes' returns. Trading costs implied by frequent adjustments of funds' portfolios create a tension between tracking error, reflecting short-term correlation with the index, and excess return, the long-term deviation from the leveraged index' performance. With proportional costs, the optimal replication policy is robust to the index' dynamics. Overall fund performance is summarized by the implied spread, the product of tracking error and excess return, rescaled for leverage and volatility. The implied spread is insensitive to risk-premia and enables comparisons of funds tracking different factors of an index. (Joint work with P. Guasoni)

This seminar will take place on Friday, February 3 at 4pm in A2-002.

If you have any questions regarding this seminar, please direct them to Iain Moyles (061 233726,

 A full list of upcoming seminars can be found at

Supported by Science Foundation Ireland funding, MACSI - the Mathematics Applications Consortium for Science and Industry (, centred at the University of Limerick, is dedicated to the mathematical modelling and solution of problems which arise in science, engineering and industry in Ireland.