Funds

CSI 300 LETFs

S&P 500 LETFs

(1)

(2)

(3)

(4)

(5)

(6)

(7)

(8)

1 day

5 days

22 days

250 days

1 day

5 days

22 days

250 days

Panel A: based on rolling observations

2×

0.485

0.478

0.466

0.299

0.378

0.377

0.395

0.434

3×

0.500

0.500

0.503

0.280

0.387

0.364

0.385

0.432

−1×

−0.618

−0.585

−0.516

−0.277

−0.461

−0.548

−0.607

−0.678

−2×

−0.574

−0.534

−0.457

−0.178

−0.433

−0.543

−0.628

−0.787

−3×

−0.559

−0.512

−0.430

−0.143

−0.424

−0.558

−0.682

−1.000

Panel B: based on non-rolling observations

2×

0.485

0.490

0.489

0.401

0.378

0.380

0.396

0.439

3×

0.500

0.516

0.518

0.409

0.387

0.361

0.367

0.444

−1×

−0.618

−0.575

−0.541

−0.339

−0.461

−0.581

−0.724

−0.607

−2×

−0.574

−0.518

−0.472

−0.300

−0.433

−0.586

−0.794

−0.695

−3×

−0.559

−0.488

−0.429

−0.370

−0.424

−0.614

−0.907

−0.943