2X, 3X ETF会归零吗？

plankton

昨天在这条线上有人说，3X ETF 最后都会归零。
http://www.hutong9.com/viewthrea ... &extra=page%3D2

哪位老大知道为什么？偶还有些深度被套的2X ETFs， DDM， QLD， SSO，他们也会
归零吗？谢先。

polopolo

As long as people keep invest money in, the answer is clear

No, no chance in hell.

The major cost is the cost of swap (for short ETF, it is more of a problem, since the only holding they have is swap), but for long ETF, they also hold a lot of stocks, these stocks do generate dividend (anyone ignore this component is probably idiot), which can help countering fee and swap cost.

plankton

TMD，说话要负责任，再不出来回答偶就要点名了！偶也死的心都有了！

去年9月10月买的DDM/QLD/SSO，难道都割在地板上吗？

plankton

As long as people keep invest money in, the answer is clear

No, no chance in hell.

The major cost is the cost of swap (for short ETF, it is more of a problem, since the only holding they have i ...
polopolo 发表于 2009-3-13 14:31

谢谢这位老大！！！

polopolo

2# 秋之皓月

The only one I can recall is an oil short etf, that ETF is very different from stock etf that he is talking about

plankton

＂As long as people keep invest money in＂

听着象麦倒伏的东东
秋之皓月 发表于 2009-3-13 14:33

You mean DDM/QLD/SSO are all run by 麦倒伏?

You can not fool me, not even me. Now get lost.

polopolo

＂As long as people keep invest money in＂

听着象麦倒伏的东东
秋之皓月 发表于 2009-3-13 14:33

I think you probably want to scare people for fun. Ok, if ETF are in liquidation mode (no money in), of course eventually the chances are the cost will make them go to zero, this is pretty much the same business model as mutual fund. The only problem is that the fee + swap cost for a 2x or 3x fund is much higher than mutual fund and more subjected to market condition (rolling swap is no less dangerous than rolling short term debt/CP), but then you are probably talking about very long time horizon.

cyco

当然会归零，考古一下旧贴吧。找不到就自己算算，涨１０－３０％，再跌１０－３０％，来回几趟，你就明白了。

plankton

当然会归零，考古一下旧贴吧。找不到就自己算算，涨１０－３０％，再跌１０－３０％，来回几趟，你就明白了。
cyco 发表于 2009-3-13 14:42

Based on your model, what would not 归零?

plankton

Found this discussion:
http://www.elitetrader.com/vb/printthread.php?threadid=134803

cyco

Yager 有一篇日志讲这个，你去看看吧。

bigbadwolf

12# plankton

make sense in most cases. Some may beome penny stock, but not totally wiped out.

plankton

Yager 有一篇日志讲这个，你去看看吧。
cyco 发表于 2009-3-13 14:58

Thanks.

pan_xyang

会的，白斑竹以前就买过油的2*ETF,最后这个ETF破产下架了

bigbadwolf

16# pan_xyang
那个ETF好像是基于某年某月的油期货收盘价， 有时效性因素。

soulvirus

多倍etf,是会归零.不过需要时间.

举个例子,银行这次跌得够惨吧,xlf都新低了,可是那个2x反指skf,最高270,离去年300的顶点有点距离.这个距离就是decay造成的.而引起decay的原因是什么,你要看看trader1688里那篇具体的分析.偶就不重复了.理论上说,如果同时short同等金额的双倍正反etf,只要时间长,一定稳赚.

dara

Take XLF and SKF as an example,

Say today     :   XLF $8,  SKF $140,
Next Monday:   XLF $9,  SKF = 140 x(100% - (1/8) x200%) = 105
Next Tueday:   XLF $8, SKF = 105 x(100% + (1/9)x200%)   = 128

XLF does not change in two trading days, but SKF lost almost 10% value. That is called decaying..