We investigate the effects of the use of different sources of investment leverage, i.e. securities with embedded leverage and traditional margin accounts, on the portfolio performance of retail investors, recognizing that these effects may be conditional on investor attention. We find that...

Investors can use leverage to increase the returns and profit of an investment. The so-called Kelly criterion is traditionally used to determine the optimal leverage factor for maximizing an investor’s absolute wealth. However, using the Kelly criterion may lead to too risky decisions for...

In this paper, we argue that the value addition from investing in short-term futures trading strategies is their reconcilability with unanticipated risk shocks. We perform empirical analysis on short-term and long-term CTA, i.e., trend-following, strategies and find that the exclusive...