Tracking Performanceof Leveraged Energy Exchange-Traded Funds

Abstract

Notes: This exhibit examines determinants of the cumulative NAV return deviation over the holding period of 5 trading days (Panel A) and 20 trading days (Panel B) using OLS regression for the DJUSEN Energy Stock LEETF family. The dependent variable is the cumulative NAV return deviation of an LETF over the holding period on a non-rolling basis; robust standard errors in parentheses.