Pros and Cons of Leveraged and Inverse ETFs (2014-10-30 06:45:49)下一个 1 The rebalancing rules of leveraged and inverse etfs are in the same direction as the immediate past movement of the underlying. If underlying moved up, they buy more; if underlying moved down, they all sell more.
2 They do a decent job in replicating X times the DAILY returns of the underlying, X being the leverage factor (ie X=2, 3, -1, -2, -3);
3 Due to the rebalancing rule, leveraged etf will OUTPERFORM, ie return you more than X times the underlying returns over multiple days, if the underlying is trending, which is similar to compounding effects;
4 However if the underlying is consolidating, then leveraged etf will buy high and sell low, which leads to time decay. The faster the underlying moves (volatility), and the more directionless the underlying moves (negative correlation over time), the faster the time decay. The effect is similar to theta of option, and the term "time decay" comes from that literature.
5 The behavior of leveraged ETFs are also like that of option. As an option moves further and further into the money, the long position gains at an increasing speed due to positive gamma.
6 Time decay of leveraged per se is not a problem. Time decay is a cost you pay to gain convexity, ie compounding effect. The problem here is that market on average is more likely to be trading in range/directionless/mean reversting (80% of time) than trading in momentum/trending (20% of time). So if you plan to hold for multiple days, then leveraged ETF is not a good instrument.
7 If you do want a long-term position, but still need leverage what do you do? You can use futures to gain leveraged without suffering time decay. You can also use the underlying (ie X=1) with margin money. With a portfolio margin account, you can go up to 6-7X leverage with minimal margin interest payment at today's low FF rates. The key here is to keep notional exposure in check. On a return on capital basis, you will gain 5X, 10X, 20X leverage. However the multiplier will be a linear multiplier, ie you will not gain compounding. Do not use options, as options are non-linear contracts that are best reserved to trade the direction of volatility, not the direction of the underlying.
8 If you do not understand the points above, do not touch either leveraged etf or futures. Options certainly should also be out of your consideration.
Pros and Cons of Leveraged and Inverse ETFs (2014-10-30 06:45:49)下一个 1 The rebalancing rules of leveraged and inverse etfs are in the same direction as the immediate past movement of the underlying. If underlying moved up, they buy more; if underlying moved down, they all sell more.
2 They do a decent job in replicating X times the DAILY returns of the underlying, X being the leverage factor (ie X=2, 3, -1, -2, -3);
3 Due to the rebalancing rule, leveraged etf will OUTPERFORM, ie return you more than X times the underlying returns over multiple days, if the underlying is trending, which is similar to compounding effects;
4 However if the underlying is consolidating, then leveraged etf will buy high and sell low, which leads to time decay. The faster the underlying moves (volatility), and the more directionless the underlying moves (negative correlation over time), the faster the time decay. The effect is similar to theta of option, and the term "time decay" comes from that literature.
5 The behavior of leveraged ETFs are also like that of option. As an option moves further and further into the money, the long position gains at an increasing speed due to positive gamma.
6 Time decay of leveraged per se is not a problem. Time decay is a cost you pay to gain convexity, ie compounding effect. The problem here is that market on average is more likely to be trading in range/directionless/mean reversting (80% of time) than trading in momentum/trending (20% of time). So if you plan to hold for multiple days, then leveraged ETF is not a good instrument.
7 If you do want a long-term position, but still need leverage what do you do? You can use futures to gain leveraged without suffering time decay. You can also use the underlying (ie X=1) with margin money. With a portfolio margin account, you can go up to 6-7X leverage with minimal margin interest payment at today's low FF rates. The key here is to keep notional exposure in check. On a return on capital basis, you will gain 5X, 10X, 20X leverage. However the multiplier will be a linear multiplier, ie you will not gain compounding. Do not use options, as options are non-linear contracts that are best reserved to trade the direction of volatility, not the direction of the underlying.
8 If you do not understand the points above, do not touch either leveraged etf or futures. Options certainly should also be out of your consideration.
投坛上看似投资成功的不少，但其实是幸存者偏差所致
你看到的都是成功的，很多失败的你没看到！
但不等于不存在失败的。
大家对TQQQ和QQQ现在很着迷，好像你可以复制别人的成功！
还可以认为能因此搞个几亿或几十亿。
其实完全看运气。谁知道几十年后的事呢？
运气好肯定行，运气不好就不行！自己的运气和国运！
其实我就是失败的QQQ/TQQQ 投资者。
在TQQQ还没诞生之前，我就注意到这个加杆杠的东西。那时没有ETF， 只有mutual fund
现在还在，代号是 UOPIX，是2x Nasdaq 100 index, 相当于现在的QLD。 我投进去的钱，基本上打水漂了。
即使一直持有，那24年了，还在水下，当时想，Nasdaq 100 每年涨15% 不是问题，两倍应该在30%左右。
27年就有1000倍了， 很可惜 24年了，还在水下！
我只是有感而发，不代表我不看好科技股，只是想说明成功不易，复制很难，失败者不计其数，别被投坛众多成功故事所误导！
啊哈哈哈。。。。。。。。。。。
只要不卖。
不过没关系，那时你又没多少钱，虽然没发财但对你现在的生活水平毫无负面影响。我2000年2.5倍杠杆，结果可想而知。就当交学费了。反正青春就是拿来浪费的。
It can easily be quantified
https://bbs.wenxuecity.com/tzlc/450126.html
都是一年里的买卖
，赚点小钱，杠杆大的都用在房子里，抵税呀。
啊哈哈哈。。。。。。。。。。。。
啊哈哈哈。。。。。。。。。。。
啊哈哈哈。。。。。。。。。。。
$100开始
QQQ 先降10%($90) , 再升 11.11%可以回到$100.
TQQQ同时期降30%（到$70), 回升33.33%只能到$93.3
比较这个利率水平对科技公司不利。AI的兴起改变了everything!
https://papers.ssrn.com/sol3/Papers.cfm?abstract_id=3549581 TQQQ+TMF 不过这模型2022年好像会大亏。
Minder Cheng and Ananth Madhavan, THE DYNAMICS OF LEVERAGED AND INVERSE EXCHANGE-TRADED FUNDS
Formula（27）has leverage \(x\) (could be negative for inverse), volatility \(\sigma\) and time \(t_N\) 。坛子里有金融教授出来解释一下吧。
Pros and Cons of Leveraged and Inverse ETFs (2014-10-30 06:45:49)下一个 1 The rebalancing rules of leveraged and inverse etfs are in the same direction as the immediate past movement of the underlying. If underlying moved up, they buy more; if underlying moved down, they all sell more.
2 They do a decent job in replicating X times the DAILY returns of the underlying, X being the leverage factor (ie X=2, 3, -1, -2, -3);
3 Due to the rebalancing rule, leveraged etf will OUTPERFORM, ie return you more than X times the underlying returns over multiple days, if the underlying is trending, which is similar to compounding effects;
4 However if the underlying is consolidating, then leveraged etf will buy high and sell low, which leads to time decay. The faster the underlying moves (volatility), and the more directionless the underlying moves (negative correlation over time), the faster the time decay. The effect is similar to theta of option, and the term "time decay" comes from that literature.
5 The behavior of leveraged ETFs are also like that of option. As an option moves further and further into the money, the long position gains at an increasing speed due to positive gamma.
6 Time decay of leveraged per se is not a problem. Time decay is a cost you pay to gain convexity, ie compounding effect. The problem here is that market on average is more likely to be trading in range/directionless/mean reversting (80% of time) than trading in momentum/trending (20% of time). So if you plan to hold for multiple days, then leveraged ETF is not a good instrument.
7 If you do want a long-term position, but still need leverage what do you do? You can use futures to gain leveraged without suffering time decay. You can also use the underlying (ie X=1) with margin money. With a portfolio margin account, you can go up to 6-7X leverage with minimal margin interest payment at today's low FF rates. The key here is to keep notional exposure in check. On a return on capital basis, you will gain 5X, 10X, 20X leverage. However the multiplier will be a linear multiplier, ie you will not gain compounding. Do not use options, as options are non-linear contracts that are best reserved to trade the direction of volatility, not the direction of the underlying.
8 If you do not understand the points above, do not touch either leveraged etf or futures. Options certainly should also be out of your consideration.
Just my 2c.
Pros and Cons of Leveraged and Inverse ETFs (2014-10-30 06:45:49)下一个 1 The rebalancing rules of leveraged and inverse etfs are in the same direction as the immediate past movement of the underlying. If underlying moved up, they buy more; if underlying moved down, they all sell more.
2 They do a decent job in replicating X times the DAILY returns of the underlying, X being the leverage factor (ie X=2, 3, -1, -2, -3);
3 Due to the rebalancing rule, leveraged etf will OUTPERFORM, ie return you more than X times the underlying returns over multiple days, if the underlying is trending, which is similar to compounding effects;
4 However if the underlying is consolidating, then leveraged etf will buy high and sell low, which leads to time decay. The faster the underlying moves (volatility), and the more directionless the underlying moves (negative correlation over time), the faster the time decay. The effect is similar to theta of option, and the term "time decay" comes from that literature.
5 The behavior of leveraged ETFs are also like that of option. As an option moves further and further into the money, the long position gains at an increasing speed due to positive gamma.
6 Time decay of leveraged per se is not a problem. Time decay is a cost you pay to gain convexity, ie compounding effect. The problem here is that market on average is more likely to be trading in range/directionless/mean reversting (80% of time) than trading in momentum/trending (20% of time). So if you plan to hold for multiple days, then leveraged ETF is not a good instrument.
7 If you do want a long-term position, but still need leverage what do you do? You can use futures to gain leveraged without suffering time decay. You can also use the underlying (ie X=1) with margin money. With a portfolio margin account, you can go up to 6-7X leverage with minimal margin interest payment at today's low FF rates. The key here is to keep notional exposure in check. On a return on capital basis, you will gain 5X, 10X, 20X leverage. However the multiplier will be a linear multiplier, ie you will not gain compounding. Do not use options, as options are non-linear contracts that are best reserved to trade the direction of volatility, not the direction of the underlying.
8 If you do not understand the points above, do not touch either leveraged etf or futures. Options certainly should also be out of your consideration.
Just my 2c.
见这篇文章： https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2172096
理论上2x在指数连跌50%时就归零了，那样以后指数再怎么涨，2x它还是零