March 22, 2020
In a follow-up to my prior comment, I will point out that several leveraged investment products are liquidating due to the current crisis and more will follow. One fund even announced an intra-day NAV of 0. These are the risks I were warning about in my research paper "Leveraged Investment Products: Monthly Rebalancing Boosts Performance, but Tail Risk Looms"
https://jii.pm-research.com/content/early/2019/10/31/jii.2019.1.074
Here are links to the news items regarding liquidations and zero NAV:
https://seekingalpha.com/pr/17815247-credit-suisse-ag-announces-modification-to-reml-etns
https://seekingalpha.com/pr/17804868-ubs-announces-mandatory-redemption-of-etracs-2xmonthly-leveraged-alerian-mlp-infrastructure
https://seekingalpha.com/pr/17804132-credit-suisse-ag-announces-automatic-acceleration-and-mandatory-redemption-of-amjl-etns