Leveraged ETF methodology

738 leveraged and inverse ETFs, of which 698 have an underlying that can be measured against. A fund is included when its registered name states a multiple, a ticker trades under it, and the price feed carries that ticker as that fund. Registrations with no ticker are shelf filings and are left out. There were 1,766 of them.

• Stated multiple Read from the fund’s registered name. “2X Short” is -2. ProShares’ Ultra, UltraShort and UltraPro are read as 2, -2 and 3 only on ProShares funds, because Ultra Short is a duration on a bond fund and a multiple on an equity fund.
• The underlying Mapped by hand from the fund name to a listed ticker, and checked nightly against the name the exchange gives that ticker. Most single-stock funds name the ticker. An index or asset maps to the fund that tracks it, stated as a proxy. If no investable tracker exists, as for a thematic index, the fund is listed but not measured. There is nothing to divide by.
• Fund return Total return with distributions reinvested, from adjusted closes, over the window’s exact days.
• What the stated multiple implies The stated multiple times the underlying’s return over the same days. The fund does not claim this. It is what a buyer reads into the name, which is why ETFIQ prints it. It is not shown where it would mean a loss of 100% or more, which no holder can suffer, or, over a year or longer, where the underlying moved more than 100% either way.
• Difference from the stated multiple Fund return minus what the stated multiple implies, in percentage points. Negative is common. It is not a fee or ordinary tracking error. It is what compounding a levered daily return along a path produces.
• What the daily multiple gives The stated multiple applied to each day’s move in the underlying and compounded over the window: the product of (1 + multiple × the underlying’s return that day), less 1. This is ETFIQ’s model of what the fund sets out to do, not a number the fund publishes. It is not shown where the path would reach a loss of 100% or more.
• Gap to the daily multiple Fund return minus what the daily multiple gives, in percentage points. It is a residual, not a fee. It holds the expense ratio; the cost or income of financing (an inverse fund earns interest on its collateral, so its gap is often positive); the slippage of daily rebalancing; the fund’s market price against its NAV on the two end days; and, where the underlying is an index read through a tracking fund, that fund’s own fee and its difference from the index. The Leverage score ranks funds on this gap over three months, long and inverse funds separately.
• Prices and dates Both returns use closing market prices, adjusted for splits and distributions (Tiingo end-of-day), not NAV. A window ends on the fund’s latest close. It starts on the last close on or before 30, 91, 182, 365 or 1,095 calendar days earlier. The underlying is read between the same two dates. Since launch starts on the later of the fund’s and the underlying’s first close. Every number carries its dates.
• Expense ratio The annual operating expense in the fund’s prospectus, after fee waivers where it reports one. It is part of the gap to the daily multiple, not a separate deduction. The gap already contains it, along with financing and rebalancing.
• Underlying volatility The annualized standard deviation of the underlying’s daily returns across the window. It decides how far the two numbers separate.
• The side by side 135 underlyings carry the same stated multiple from more than one issuer. Those funds are compared only over the days every member traded, because since-launch windows start at each fund’s own launch, and different launches mean different years.

ETFIQ does not model the swaps, estimate financing cost separately, or forecast what a fund will do. The gap to the daily multiple holds financing, fees and rebalancing together. Published prices cannot separate them, and splitting them would be a model, not a measurement.