Linda Zhang of Purview Investments has published a comprehensive empirical research paper on the Journal of Index Investing, summer, 2018. She studied the the risk behavior of leveraged ETFs listed in the U.S. and around the world. She found that during many short holding periods, a leveraged ETF can have much higher volatility than suggested by its leverage multiple. The surprise in volatility jumps tends to be bigger for higher leveraged products, and for ETFs tracking more volatile indices. The issue is more pronounced in some overseas markets. The author argues that it is critical to educate investors for proper usage of leveraged products, especially those who might have not anticipated the unpleasant surprises in volatility spikes from time to time. See the full presentation slides here.