Seek insight about "leveraged ETF"

旅新

The following is quoted from Yahoo Finance. Can anyone explain why leveraged ETFs get widening gap with the index, by using plain, everyday language? Thanks.

Mind the Gap: The Problem with Leveraged ETFs
Posted Aug 14, 2009 09:30am EDT by Aaron Task in Investing

Morgan Stanley Smith Barney is joining UBS in potentially suspending sales of leveraged ETFs to its retail clients, while Charles Schwab advises investors to "proceed with extreme caution," Dow Jones reports.
The brokers are responding to pressure from the Financial Industry Regulatory Authority (FINRA), which in June raised questions about the suitability of leveraged ETFs for investors who plan to hold them for more than one trading day.

The big problem with leveraged ETFs is while they may be able to mimic a particular index for one or two days, "as soon as you start looking at longer time periods, you get this ever widening gap between of the index and the ETF," says Tom Lauricella, a Wall Street Journal reporter and author of the Fund Fiend column. "The crucial thing about the math behind these things, is when you get big up and down moves, the gaps get wider and wider."

As a result of these performance gaps, some "bear" ETFs actually lost money during 2008 even as the broad market tanked, Lauricella notes, meaning investors who thought they were hedged against a decline still lost money.

For example, the UltraShort S&P 500 ProShares Fund (SDS), which seeks to provide two times the inverse performance of the S&P 500, is down more than 30% in the past year, worse than the S&P's 21% drop in the same time period.

As with any investment, make sure you know what you're getting into when you buy an ETF -- more especially if it's leveraged.

yaobooyao

Leveraged ETF 都在招股说明书中明确指出 －Mimic Daily 2倍或者3倍Perfromance Of the Tracking index，所以每日内它的涨跌幅度是所跟踪指数的2倍或3倍（正、反向），而长期来看，它的最终结果基本上都是输给它所跟踪的指数的（因为市场是波动的）。

举两个例子，2倍Bull ETF和Bear ETF， 指数Day 1 涨10％ ， Day 2 跌 10％， 看看Day2 结束时该ETF和指数的收益情况：（起始值均为100）：

                             Day 0   Day 1   Day 2    Prof/Loss by end of Day 2:
Index ：                100      110        99       (99-100)/ 100  = -1%
2xETF（Bull）:       100      120        96       (96-100)/ 100  = -4%
2xETF (Bear):        100       80         96       (96-100)/100   = -4%  

2天下来，该指数损失了1％， 但该2xBull ETF损失了 4％， 而绝非1％ 的两倍（2％）。如果你在Day0 投入100元，两天下来你的损失将是指数损失的4倍！

如果是买了2xBear ETF 更郁闷，两天下来，损失同为4%, 而绝非你所想象的收益2％，还谈何2倍收益！

这种振荡在股市中永远存在，除非在单边上涨、下跌的情况下，Leveraged ETF 长期持有的结局将是巨大的失望。

大家在胡同中很久以前已经讨论过Leveraged ETF了，劝各位青蛙不要玩。这和赌场中押大小的玩法差不多。

旅新

多谢这位的解释。看来市场波动是 leveraged ETF 背离index 原因， 这就是所谓 decay吗？但是如果其背离的计算公式， 都是当天Index 的变异数 X2 （对两倍EFT，无论正或负）或 X3（对三倍ETF而言）， 说明ETF的变异还是按该公式所能够计算的轨迹变异，这个公式是不变的，那就好办。我担心的是其变异本身没有规律，造成完全按你判断的相反的方向变异，那就麻烦了。