（更新）关于Short FAZ/FAS的深入分析及其意外的结论 （附四种情况及结论）

eric

原帖：http://www.hutong9.com/viewthread.php?tid=45993

"A picture is worth a thousand words", Do you believe it?!

eric

看到过大牛Yager的一个贴子提到 Shorting pair，
原帖：Simple Pair Trading on QQQQ, QID, and QLD
http://www.hutong9.com/viewthrea ... &highlight=pair
大牛Yager已经用数学方法论证了，小e用Excel来模拟一下大牛的高论。
不知道是否正确，大家多讨论。

eric

一点说明：）

我并非对Shorting Pair有偏好和钻牛角尖，我最近刚听一个朋友提到了
Market-Neutral Long/Short Equity Hedge Funds
他们的Fund去年的Portfolilo是正的。

刚好又看到大牛dividend_growth 的帖子：极力推荐一个pair trade
http://www.hutong9.com/viewthrea ... &highlight=pair
所以对这个问题产生了兴趣。

我觉得这个idea和Shorting FAS/FAZ的思路是类似的，也许不能这么讲，
Shorting FAS/FAZ是decay的问题
Market-Neutral 是Outperformerce的问题

但算法和程序上是类似的，我先写了一个小VBA来试试 Shorting pair，
下一步准备写另一个VBA来验证大牛dividend_growth的推荐的Long/Short Pairs：）
胡同大牛们见笑了，大牛有空还请多指点指点 。。。

有没有现成的Market-Neutral Long/Short Equity Hedge Funds的软件呢？
青蛙们选股的时候可以用来验证验证。。。

eric

xiaohunhun

多吉

一点说明：）

我并非对Shorting Pair有偏好和钻牛角尖，我最近刚听一个朋友提到了
Market-Neutral Long/Short Equity Hedge Funds
他们的Fund去年的Portfolilo是正的。

刚好又看到大牛dividend_growth 的帖子 ...
eric 发表于 2009-4-28 04:17 AM

同时做空FAS/FAZ以稳定盈利方法的探讨
2009-03-15 11:58
http://blog.hutong9.com/space.php?uid=3380&do=blog&id=6281###

niufen88

thanks for sharing

JL01

Good subject and work. Thanks.

johndai

readed

chchzhzh

interesting！

wlee

very interesting

goldbug

So the result is similar to writing call and put option at the same time.  If the market is piggy (no big move) or V-shaped (big move but back to original ponit), you win with time value decay.  If the market has a strong trendy move to either direction, you lose (i.e. one option +100% and the other -50%).

NewMember

So the result is similar to writing call and put option at the same time.  If the market is piggy (no big move) or V-shaped (big move but back to original ponit), you win with time value decay.  If th ...
goldbug 发表于 2009-4-28 11:15

This must be it.  The gain is from time decay.  Depending on the person's time frame, if we look at a time line of 1 year, the market will probably remain piggy.  There will be big drop followed by strong rally, but by and large, the market won't go any where within this couple of years.

In order to make profit on time decay, one needs a deep pocket to weather off occasional rapid ups and downs.  It doesn't look like a investment strategy for small players.

xiaoxiao08

WOW, thank you so much.

raise3

ddd

It comes down to that FAZ is really the devil on an uptrend. So this strategy works the best on an uptrend market. Alternatively we can focus to simply buy puts/sell calls on FAZ in a big rally.

coldcold

要想玩这个，大盘不能动荡，否则口袋要很深才行。
想想如果你同时short $10000 FAZ / $10000 FAS, 如果大盘暴涨暴跌，其中一个至少2X, 3X吧， 那你的loss 就是$20000,$30000， 但另一个gain最多$10000. 要是全仓上，已经wipe out了

qiangge

Pirate

Thanks

herb

倒不一定非要是V型空两个才能赚钱，只要有大量的上下反复抽插摩擦就行。长驱直上或直下都要赔钱。