Resumen

MENDOZA-RIVERA, Ricardo Jacob; GARCIA-PEREZ, Luis Enrique  y  JIMENEZ-PRECIADO, Ana Lorena. Bull vs. Bear Oil & Gas Leveraged Exchange Traded Fund: A Rolling Risk-Performance. Rev. mex. econ. finanz [online]. 2020, vol.15, n.4, pp.647-664.  Epub 12-Feb-2021. ISSN 2448-6795.  https://doi.org/10.21919/remef.v15i4.499.

This research aims to capture the risk-performance exposure of 4 of the most popular leveraged energy ETFs: GUSH, DRIP, DGAZ, and UGAZ, which are an attractive investment option when the capital market (shares and bonds specifically) do not perform well due to the inherent uncertainty of the market. We use a rolling window mean-standard deviation model to study the dynamics of three of the principal investment components: volatility, return and market beta (β) over varying horizons of bull and bear Oil & Gas leveraged Exchange Traded Fund (ETF). Leveraged energy ETF provides from 200% to 300% (for bull) and -200% to -300% (for bear) return based on their benchmark index every single day, allowing to implement strategies where high profits (as well as high losses) can yield tremendous benefit for both parties from market volatility. The results enable the characterization of the dynamics of risk-return of bull and bear leveraged energy ETFs and suggest a more accurate measure for risk compensation. In general, ETFs are a mechanism for investors to foresee the future structure of energy prices to make decisions about an efficient allocation of resources.

Palabras llave : Leveraged ETF; Oil & Gas; risk-return; market beta; rolling window.

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