| Article ID: | iaor20115252 |
| Volume: | 39 |
| Issue: | 3 |
| Start Page Number: | 172 |
| End Page Number: | 179 |
| Publication Date: | May 2011 |
| Journal: | Operations Research Letters |
| Authors: | Haugh Martin B |
| Keywords: | stock market |
We consider constant proportion (CP) trading strategies when there are multiple underlying securities and use a recently derived expression for the terminal wealth of a CP strategy to address two issues. First, we characterize the performance of a CP strategy relative to the performance of the corresponding buy‐and‐hold strategy. We then explain the performance of leveraged ETFs which have been criticized for not performing as expected, particularly during the financial crisis of 2008.