Nothing too mysterious in the examples in the SEC Alert link. One just has to keep in mind that these ETFs leverage the daily return and then take into account

Nothing too mysterious in the examples in the SEC Alert link. One just has to keep in mind that these ETFs leverage the daily return and then take into account the compounding effects. If you have an index with normally distributed returns with mean m and volatility v, then the long term compound return c is c = m – 0.5 v^2 . An ETF which leverages k times will have returns with mean km and volatility kv. The ETFs long term compound return e will be e = (km) – 0.5 (kv)^2 = k m – k^2 0.5 v^2 = k (m – 0.5 v^2) – (k^2 – k) 0.5 v^2 = k c – k (k – 1) 0.5 v^2. For k > 1, the second term will always be negative so the ETFs return will always be less than the leveraged compound return of the underlying index. Whether the leveraged ETF return will be more or less than the underlying index return depends on whether c > (k – 1) 0.5 v^2 <=> m – 0.5 v^2 > (k – 1) 0.5 v^2 <=> m > k 0.5 v^2 <=> m / (0.5 v^2) > k. In other words, the leverage k has to be kept less than the m / (0.5 v^2) which is the well known Kelly Criterion.