有人有這樣"放空"美股的經驗嗎? - 理財

看了一文章 "Shorting Leveraged ETF Pairs" http://0rz.tw/Hltdl

我看有人用 同時等量賣空(正負向)2X槓桿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. 槓桿大的ETF 在美股震盪volatility越小追蹤誤decay差越小
美股震盪越大追蹤誤差越大
例如: 下圖說明:
spy(S&P500)震盪越大 SSO (2X) and SDS (-2X)越隨時間decay衰敗
如果spy震盪不大 SSO (2X) and SDS (-2X)越隨時間decay衰敗比較小
(見圖)http://ppt.cc/dsC7

2. "同時賣空(正負向)2X槓桿ETF" 在股票波動大surges/high volatility會賺
在股票波動小會虧
例如: 下圖說明:
"同時賣空(正負向)2X槓桿ETF"QLD and QID 和 SSO and SDS 的總報酬
當美股震盪大時會大賺 震盪小時賠的也不多
(見圖)http://ppt.cc/c3RP

2. 當把"同時賣空(正負向)2X槓桿ETF"的效果與VIX比較時 發現無關
這我看不懂 所以無法解釋
(見圖)http://ppt.cc/8eQC

3. VIX(股市震盪)越高 "同時賣空(正負向)2X槓桿ETF"報酬越高
Results suggest that the shorted pair tends to
produce positive (negative) returns
when volatility is relatively high (low).
(見圖)http://ppt.cc/7Ow2


(上面3項心得文章全文在此 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).
意思是說 價格下跌 借不到卷?
(資料來源)http://etf.about.com/od/buyingetfs/a/ETF_Short.htm


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所以從上面看來

應該是 當大震盪來臨時 以追蹤效果來說"借卷放空sell short高槓桿ETF"比以較好?

我還沒研究
搞不好 當"大震盪high volatile"來臨時
"借卷放空sell short高槓桿ETF"還比真實市場表現更為優異?

例如你借卷放空 QID ProShares UltraShort QQQ(ProShares二倍放空納斯達克指數ETF)
是不是在美股大震盪時 是不是表現會優於 NASDAQ原指數的2倍 還優異?

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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.

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