Quantpedia Releases Empirical Study on Shorting TQQQ/SQQQ Volatility Decay Strategy
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The Quantpedia research team has released an empirical study examining the real-world performance of a short leveraged ETF volatility decay strategy, using an approximate Nasdaq-100 market-neutral portfolio consisting of a 50% short position in TQQQ and a 50% short position in SQQQ. The study is based on live market data and securities lending cost data for both securities from July 13, 2015 to August 8, 2026 on the QuantConnect platform. The testing dimensions include the impact of incorporating securities lending costs, different rebalancing frequencies, execution timing, and batch rebalancing; the 5-day rebalancing cycle test uses a batch rebalancing approach that executes a 20% portfolio adjustment daily.
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- QuantpediaShorting Leveraged ETFs: The Role of Borrowing Costs and Rebalancing in Volatility Decay Strategies
Quantpedia's research team examined an approximately market-neutral portfolio consisting of a 50% short position in TQQQ and a 50% short position in SQQQ. Using live market data and securities lending cost data for both securities from July 13, 2015 to August 8, 2026 on QuantConnect, they tested the performance of a volatility decay strategy after incorporating borrowing costs, different rebalancing frequencies, execution timing, and staged rebalancing.
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