看了一文章 "Shorting Leveraged ETF Pairs" http://0rz.tw/Hltdl 我看有人用 同时等量卖空(正负向)2X杠杆ETF shorting equal amounts of the long and short double ETFs. "I’ve been shorting equal amounts of the long and short double ETFs. I’m short the QID and the QLD, short the TWM and UWM, short the UGL and the GLL, and short the DIG and DUG." "I figure, if they are bad longs, they must be good shorts. My thinking is that in a STRONGLY trending market, the position may lose some ground, at least temporarily. But in a weakly trending market, or sideways, both will decay nicely. When I look back on the ones that are a few years old, they just melt away (one side more than the other).” 我自己看文章後的感想 1. 杠杆大的ETF 在美股震荡volatility越小追踪误decay差越小 美股震荡越大追踪误差越大 例如: 下图说明: spy(S&P500)震荡越大 SSO (2X) and SDS (-2X)越随时间decay衰败 如果spy震荡不大 SSO (2X) and SDS (-2X)越随时间decay衰败比较小 (见图)http://ppt.cc/dsC7 2. "同时卖空(正负向)2X杠杆ETF" 在股票波动大surges/high volatility会赚 在股票波动小会亏 例如: 下图说明: "同时卖空(正负向)2X杠杆ETF"QLD and QID 和 SSO and SDS 的总报酬 当美股震荡大时会大赚 震荡小时赔的也不多 (见图)http://ppt.cc/c3RP 2. 当把"同时卖空(正负向)2X杠杆ETF"的效果与VIX比较时 发现无关 这我看不懂 所以无法解释 (见图)http://ppt.cc/8eQC 3. VIX(股市震荡)越高 "同时卖空(正负向)2X杠杆ETF"报酬越高 Results suggest that the shorted pair tends to produce positive (negative) returns when volatility is relatively high (low). (见图)http://ppt.cc/7Ow2 (上面3项心得文章全文在此 http://0rz.tw/Hltdl) 4. How Do I Short an ETF? The most obvious way is to call your broker or log onto your online account and make a short ETF transaction. You can sell an ETF at the market (be careful with volatile ETFs) or you can even designate a certain price point (again be careful, there is the possibility you do not get your order filled if the price falls). 意思是说 价格下跌 借不到卷? (资料来源)http://etf.about.com/od/buyingetfs/a/ETF_Short.htm **************************************************************** 所以从上面看来 应该是 当大震荡来临时 以追踪效果来说"借卷放空sell short高杠杆ETF"比以较好? 我还没研究 搞不好 当"大震荡high volatile"来临时 "借卷放空sell short高杠杆ETF"还比真实市场表现更为优异? 例如你借卷放空 QID ProShares UltraShort QQQ(ProShares二倍放空纳斯达克指数ETF) 是不是在美股大震荡时 是不是表现会优於 NASDAQ原指数的2倍 还优异? **************************************************************** How to Short an ETF http://www.ehow.com/how_6546375_short-etf.html 1. Open a margin account with an online stock broker. A margin account allows investors to borrow part of the purchase price of securities, leveraging their investment power. Short selling can only be done through a margin account. 2. Check the ETF you want to short to make sure it is eligible for short selling. Not all ETFs can be shorted. If the fund is not eligible, pick a similar ETF that is. 3. Use the stock trading screen in your online brokerage account to short sell the number of shares of the ETF you want to short. The trade will be designated "sell to open" to indicate a short sale. 4. Check your account activity to determine if the short sale order was filled. To complete a short sale, you must first borrow the ETF shares from your broker. The broker will obtain the shares from its own inventory or another customer's margin account that holds the shares. If the broker has no shares eligible for borrowing, your short order will not be filled. 5. Place a "buy to close" order after the ETF has fallen in value to buy the shares back and realize the profit in the short ETF trade. The funds from short selling the ETF shares will be frozen in your account until you place the order to buy back the sold short shares. Tips & Warnings 1. For a thinly traded ETF, you should call the brokerage firm first to see if any shares of the fund are available for shorting. 2. There are inverse ETFs available for many indexes that accomplish the same results as short selling, but you can buy the shares in a regular trade in a cash account. 3. If the owner of the borrowed ETF shares decides to sell the shares, your short position will be closed by the broker to return the shares to the owner's account. 4. Short selling subjects the trader to unlimited losses if the ETF sold short goes up in value rather than down. -- 1 Foreign_Inv 试阅 ◎海外投资板 2 ForeignEX 理财 ◎外汇板 <==讨论黄金最多 3 Fund 基金 ◎基金版 4 Stock 学术 ◎股票版 --

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