This paper introduces the "Day Late Dollar Richer" (DLDR) strategy, a systematic, rules-based trading model that exploits predictable issuance and redemption behavior in Leveraged and Inverse Exchange Traded Funds (LETFs).
Building on the author's prior forensic framework, Deception by Design: Leveraged ETFs, Structural Fraud, and the Proof of Outperformance (Bezdjian, SSRN ID: 5347238), which quantified over $100 billion in net issuance profits for LETF sponsors, this model transforms those flows into a replicable, high return signal and potentially forensic proof of issuer level structural fraud.
By analyzing daily changes in shares outstanding and trading with a one day lag, the strategy consistently generates profits across asset classes where traditional ETFs do not. Unlike prior academic literature that focuses primarily on volatility decay and compounding effects, this paper presents empirical evidence that share issuance behavior is itself predictive: a structural signal created by the ongoing exploitation of investors and now harnessed by this model.
These findings raise urgent questions around product design, fiduciary responsibility, and regulatory oversight. LETFs are functionally zero sum instruments. Every dollar of investor loss often translates to a corresponding gain for issuers or their counterparties, by design, not by chance. What was once described as “random decay” is now exposed as an arbitrageable signal. For the first time, the public has a tool to reverse the transfer.
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