The etf-leverage-simulator synthesizes long-term leveraged ETF returns.

Leveraged ETF's are exchanged traded funds that use derivatives and debt to magnify the returns of an underlying index. Such funds apply a leverage multiplier (typical 2x or 3x) to amplify an index's actual returns on a daily basis.

This application allows the user to select an underlying index and then run a simulation to see how an ETF (applying daily leverage to the underlying index) would have performed over the same period.

First, use Underlying Index to load actual market returns for a specified index or security.

1. Enter a symbol for a market index or security.
2. Select a date range via Start/End Date
3. Click Fetch Data to retrieve the actual daily closing prices for the specified security

Then, adjust the ETF Parameters to run simulations.

1. The Leverage Multiplier changes the multiplication factor applied to daily returns.
2. The Expense Ratio changes the yearly expense overhead of the simulated ETF.

Links

• github repository
• shiny application
• slidify presentation
• detailed analysis