Leveraged ETF 討論區 (3)

唔係好睇得明呢張圖 剩低40％係tmf？

TLT
20%TQQQ - 80%TLT
30%QLD - 70% TLT
60%QQQ - 40% TLT
同樣係60% QQQ exposure

全倉月供qqq/voo點睇

可以買完刪app十年都唔理(月供就冇計啦點都要每個月望一眼)
已經非常穩定 想更穩陣可以考慮放少許債 但分別唔會太大
但係全倉1x etf既回報未必滿足到呢個po入面既人
所以先會用leverage過既ETF

點解qqq條curve靚過voo咁多？
係咪只因歷史升勢較好？

原來2012年有隻2X Long VIX ETN (TVIX)喺underlying index無咩變化嘅情況下一星期跌咗6成。

Also, in March 2012, a leveraged ETN lost 60% of its value over a week without a very large change in the underlying index. It was because the leveraged ETN provider stopped creating shares temporarily, and unsuspecting investors continued to purchase this security leading to a build-up of a 90% premium. Opportunistic funds took advantage of this and sold the security short, after the leveraged ETN provider announced that it would resume share creation.

https://www.wsj.com/video/chaos-over-a-plunging-note/A0E66238-F0ED-4CAC-98D4-3A1B170B5FF2.html

成份股唔同
QQQ比較集中喺科技股

其實我係講緊sharpe ratio同sortino ratio
甚或係tqqq/tmf, upro/tmf
或者係qqq同voo加債既各種比例
都係qqq既衍生portfolio表現更好

XIV都係ETN 兩者一樣死法 呢個就係ETN既風險
一旦有咩冬瓜豆腐個issuer反應唔切就死硬
所以而家ETF安全好多

其中一個理解方法係
equity再穩都有個極限 (所以點解冇risk free asset既話條efficient frontier係parabola 你要極低return反而食多左風險)
唔好唔記得唔淨只跌先拉高sd 一時升得多一時升得少都會
所以spy比起qqq所減低既風險唔夠佢減少既回報(backtest入面)咁多
所以計出黎咪qqq好d

The Journal of Index Investing 2011登咗篇文講長揸leveraged ETF，結論同全倉QQQQ巴打講嘅差唔多。
依篇文另外提到喺低volatility嘅時候leveraged ETF表現會比較好(聽落好似理所當然，不過有興趣都可以睇吓佢用VIX嚟predict future volatility)。

Trainor, W. J. . (2011). Solving the Leveraged ETF Compounding Problem. The Journal of Index Investing, 1(4), 66–74.
https://sci-hub.se/https://doi.org/10.3905/jii.2011.1.4.066

同一個教授2018年都出咗篇文講用leveraged ETF砌portfolio。
不過投資幾種唔同Asset Class，喺2X, 3X portfolio，債券嘅部分佢都係會揀返leveraged ETF，即係投資UPRO就會揀返TMF。
結論我都未睇哂，大概係絕大部分情況之下leveraged ETF都贏。只有當T-bond ladder跑輸borrowing rate嗰陣先會輸。

Trainor, W., Chhachhi, I., & Brown, C. (2018). A Portfolio of Leveraged Exchange Traded Funds. SSRN Electronic Journal.
https://sci-hub.se/10.2139/ssrn.3272486

股災先兆

反正無論升跌，啲新手都唔會揸得耐

又真

已經準備好cash入貨

十萬叫轟？ 先得皮幾鎂

有啲好奇：萬一LEFT成為咗散戶主流，會唔會玩爛咗呢個玩具？咁多人泊錢喺衍生工具度

信念買咗一股支爆etf 升5%放咗

btw YANG/YINN既underlying index係Xinhua Large Cap 25
果25隻比銀行/IT/生化佔據曬
個表現未必跟足恆指/恆指科技指數
反而呢幾個sector一出事佢反應就好大

點爛法？

［無獎問答遊戲］年尾TQQQ幾多錢？
- 分享自 LIHKG 討論區
https://lih.kg/hLnPoS

今晚TLT回吐

呢排d 長債仲chok過正股…