AdvancedNumeric answer

A $3\times$ daily leveraged ETF tracks an index with $20\%$ annual volatility. Over one year the index ends exactly where it started. Assuming continuous rebalancing and no fees or rates, what is the ETF’s return, in percent? (Give a signed number.)

Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.

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ETFs: the arbitrage mechanism, and why leveraged ones decay

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Jane Street, SIG (Susquehanna), Citadel

A 3×3\times3× daily leveraged ETF tracks an index with 20%20\%20% annual volatility. Over one year the index ends exactly where it started. Assuming continuous rebalancing and no fees or rates, what is the ETF’s return, in percent? (Give a signed number.)

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A $3\times$ daily leveraged ETF tracks an index with $20\%$ annual volatility. Over one year the index ends exactly where it started. Assuming continuous rebalancing and no fees or rates, what is the ETF’s return, in percent? (Give a signed number.)