We use proprietary data on intraday transactions at a futures brokerage to analyze how implied leverage influences trading performance. Across all investors, leverage is negatively related to performance, due partly to increased trading costs and partly to forced liquidations resulting from margin calls. Defining skill out-of-sample, we find that relative performance differentials across unskilled and skilled investors persist. Unskilled investors' leverage amplifies losses from lottery preferences and the disposition effect. Leverage stimulates liquidity provision by skilled investors, and enhances returns. Although regulatory increases in required margins decrease skilled investors' returns, they enhance overall returns, and attenuate return volatility.

中文翻译：

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杠杆是一把双刃剑

我们使用期货经纪公司日内交易的专有数据来分析隐含杠杆如何影响交易绩效。对于所有投资者来说，杠杆率与业绩呈负相关，部分原因是交易成本增加，部分原因是追加保证金导致的强制平仓。在样本外定义技能时，我们发现非熟练投资者和熟练投资者之间的相对绩效差异仍然存在。不熟练的投资者的杠杆作用会放大彩票偏好和处置效应带来的损失。杠杆可以刺激熟练投资者提供流动性，并提高回报。尽管监管机构提高保证金要求会降低熟练投资者的回报，但它们会提高整体回报并减弱回报波动性。