Analysis of the impact of transaction costs on the performance of Bull ETFs

2010

Masteroppgave i økonomi og administrasjon - Universitetet i Agder 2010 Since 2008 both Handelsbanken and DnbNOR have offered the Bull funds on the Oslo stock exchange. These are funds whose shares trade like stocks on the stock exchange, and the fund provide investors with twice the daily return of the OBX-index. In order to do so, the fund managers utilize OBX-stock index futures contracts. Fund managers take long futures positions of twice the value of the fund to achieve the double exposure. To maintain the double exposure, fund managers must rebalance the fund at the end of each trading day. They do this by adjusting the number of futures contracts so that the exposure is always twice t…