y*******3
发帖数: 75 | 1 Many writers at Seeking Alpha have detailed the perils of leveraged ETFs
such as TZA, TNA, FAS and FAZ. However, they can be a great way of leverage
if an investor is convinced of the direction of the market.
Take the case of two opposing ETFs, TZA and TNZ. TNA is 3x bullish on
Russell 2000, while TZA is 3 x bearish on the same. If an investor is a bear
, TZA is a great play. Similarly, if an investor is a bull, TNA is a great
play. However, they should not be held for long periods of time as the value
decays with time since they are compounded daily. Another problem with
either is that they raise the obvious problem of timing the market - buying
and selling these volatile and leveraged ETFs carries the risk of sharp and
sudden losses if the market goes against the investor.
One way an investor can avoid the problem of timing the market while taking
advantage of the decay in the value of these ETFs is by shorting equal
shares of TNA and TZA. To further investigate, let us take the long side of
the equation.
Let us say an investor bought TZA on Oct. 6, 2010, at $73.83. TNA on that
day was $49.31. If the investor bought equal value of each shares, lets say
$100,000 worth each, that investor would have bought 1354.63 shares of TZA
and 2027.98 shares of TNA. As of Oct. 5, 2011, TZA was worth $49. 59 and TNA
was worth $33.05. Value of TZA = 1354.63 shares x $49.59/share was $67,176.
102 and TNA = 2027.98 shares x $33.03/share was $66,984.179. The portfolio
value would be worth $134.160.28, while the starting value was $200,000.
This would result in a loss of $65, 839.72, or approximately 32%.
In the above, I assumed the investor had bought equal dollar value of TZA
and TNA. But even if one did the calculation for equal shares, the investor
still loses money. Lets say the investor bought 1,000 shares of TZA on Oct 6
, 2010 for $73,830 and 1,000 shares of TNA for $49,310 for a total
investment of $123,140. The value of the portfolio as of last night would be
TZA $49,590 and TNA $33,030 for a total of $82,620. Thus, the investor
would have a loss of $123,140 – 82,620 = $40,520, or approximately 32%.
As seen in this example, being long both is not profitable. But being short
both is. In the above example, an investor would have made a 32% profit if s
/he were to short equal shares of TNA and TZA for a year.
One can, in theory, also use options to trade this strategy. But options for
leveraged ETFs are very expensive - for example, Jan 13 TZA puts with
strike price of $50 are worth an incredible $25. For this reason, I don't
think buying puts on TNA and TZA will pay off for this paired trade | t***y
发帖数: 2276 | 2 真的假的？
As seen in this example, being long both is not profitable. But being short
both is. In the above example, an investor would have made a 32% profit if s
/he were to short equal shares of TNA and TZA for a year.
单例举某天的例子很难证明。大象和老牛觉得这个帖子靠谱吗？ | y*****l
发帖数: 5997 | 3 太长,我给总结一下:
同时short3倍正指和反指,因为time dacay,肯定赚钱.
股版有人提过,没有那么简单,肯定赚钱,好像多数broker不能同时short这俩儿.
需要确认一下. | m***d
发帖数: 269 | 4 那要是在两个不同的broker那里各开个账户，同时short，岂不是稳赚？！
【在 y*****l 的大作中提到】
: 太长,我给总结一下:
: 同时short3倍正指和反指,因为time dacay,肯定赚钱.
: 股版有人提过,没有那么简单,肯定赚钱,好像多数broker不能同时short这俩儿.
: 需要确认一下.
| y*****l
发帖数: 5997 | 5 发信人: robck (万廷), 信区: Stock
标 题: Re: 玩3*ETF的今天爽死了
发信站: BBS 未名空间站 (Tue Aug 2 17:08:48 2011, 美东)
俺们两边short FAS/FAZ的表示无鸭梨。 | y*****l
发帖数: 5997 | 6 发信人: aegeanboat (Aegeanboat), 信区: Stock
标 题: Aegeanboat: Volatility 大的时候不适合操作3XETF
发信站: BBS 未名空间站 (Tue Sep 13 16:51:54 2011, 美东)
很容易莫名其妙就亏了。为什么呢？请看：
Volatility小的时候，上下波动5%。一来一回之后价值=0.95x1.05=0.9975
Volatility大的时候，上下波动10%。一来一回之后价值=0.9x1.1=0.99
来回波动几次，就没什么了。
发信人: aegeanboat (Aegeanboat), 信区: Stock
标 题: Re: Aegeanboat: Volatility 大的时候不适合操作3XETF
发信站: BBS 未名空间站 (Wed Sep 14 13:51:09 2011, 美东)
3xETF最好的操作策略是Day Trade + 顺势。不要反着看。不要因为它跌你就买，它涨
你就卖。而要越跌越卖，越涨越买。而且要当天了结。并设好止损。
发信人: aegeanboat (Aegeanboat), 信区: Stock
标 题: Re: Aegeanboat: Volatility 大的时候不适合操作3XETF
发信站: BBS 未名空间站 (Tue Sep 13 18:29:54 2011, 美东)
Short 3x options本人是强烈反对的。
3x 是 leveraged
options 是 leveraged
Short 更是 leveraged
这这这简直已经脱离人类的范畴。很难起到hedge的作用。
很容易就崩溃料。 | y*****l
发帖数: 5997 | 7 标 题: Re: 谁来说说为啥3x etf其实是2.5x,为啥不按3x去设计？
发信站: BBS 未名空间站 (Wed Sep 21 13:08:17 2011, 美东)
i only konw so called "3x" is actully 2.5x.
VIX VXX
http://en.wikipedia.org/wiki/Inverse_exchange-traded_fund
also its reference at http://olympiainv.com/Memos/ETFs.pdf | y*****l
发帖数: 5997 | 8 发信人: nonpp (有错就改), 信区: Stock
标 题: Re: 大家都常抄哪几只ETFs？谢谢。
发信站: BBS 未名空间站 (Mon Sep 26 21:17:25 2011, 美东)
TNA, TZA, FAS, FAZ
发信人: starmoon (★·○), 信区: Stock
标 题: Re: 大家都常抄哪几只ETFs？谢谢。
发信站: BBS 未名空间站 (Mon Sep 26 21:23:58 2011, 美东)
别害人，说了是新人
你给他几个3X的ETF
做人不要太缺德
多看看SPY, QQQ, IWM吧
把这几个搞清楚了再想别的
Popular ETFs from Yahoo
http://finance.yahoo.com/etf/education/04 | K********g
发帖数: 9389 | 9 没法挣钱。
亏欠的居多
leverage
bear
value
buying
and
【在 y*******3 的大作中提到】
: Many writers at Seeking Alpha have detailed the perils of leveraged ETFs
: such as TZA, TNA, FAS and FAZ. However, they can be a great way of leverage
: if an investor is convinced of the direction of the market.
: Take the case of two opposing ETFs, TZA and TNZ. TNA is 3x bullish on
: Russell 2000, while TZA is 3 x bearish on the same. If an investor is a bear
: , TZA is a great play. Similarly, if an investor is a bull, TNA is a great
: play. However, they should not be held for long periods of time as the value
: decays with time since they are compounded daily. Another problem with
: either is that they raise the obvious problem of timing the market - buying
: and selling these volatile and leveraged ETFs carries the risk of sharp and
| a****g
发帖数: 8131 | 10 the author did not even mention short interest | a****c
发帖数: 339 | 11 我用3xETF + 坚决不DT + hold around 1 week.
过几个月再看我是不是错了。 | X*****s
发帖数: 2767 | |
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