例如all in QLD 其實不及35% TQQQ 30% QLD 35% TMF
但係後者就算跌市都可以保證portfolio唔受大影響
Leveraged ETF 討論區 (4)
Outliers
1001 回覆
8 Like
0 Dislike
你可以用債etf去令成個portfolio變得更穩定
例如all in QLD 其實不及35% TQQQ 30% QLD 35% TMF
但係後者就算跌市都可以保證portfolio唔受大影響
例如all in QLD 其實不及35% TQQQ 30% QLD 35% TMF
但係後者就算跌市都可以保證portfolio唔受大影響
有冇計過將你cash pool一半/全部放入TLT/TMF會點 
放入upro即規則不變
放入upro即規則不變
駁佢放內銀做乜唔放美銀
好片 d配圖好舒服 
唯一有問題既係佢論證ARK個feedback loop既時候
佢引用既時段係成個市一齊爆升既時候 你果幾隻跟住升好難代表到乜野
ARK本身揀既股亦都偏向volatile 大市升既時候呢堆股升得比大市更多亦為正常
要將呢d factor拎走曬先有辦法數到個feedback loop影響幾大
唯一有問題既係佢論證ARK個feedback loop既時候
佢引用既時段係成個市一齊爆升既時候 你果幾隻跟住升好難代表到乜野
ARK本身揀既股亦都偏向volatile 大市升既時候呢堆股升得比大市更多亦為正常
要將呢d factor拎走曬先有辦法數到個feedback loop影響幾大
At the end of the day我個結論就係佢跑唔贏200% QQQ 所以我選擇TQQQ/TMF
我有諗過如果個個都咁諗 個市場咪會對科創/startup好不利
真正頭啖湯IPO之前就入左啦 輪唔到我地
咁多位早晨
諗住TQQQ得咁少數據，連08年都冇包，就想自己用返nasdaq 100 backward simulation返之前嘅數字出唻做portfolio test
首先就將每日nasdaq 100個變化同返實際TQQQ嘅變化比較，咁多年嘅平均difference只有+0.09%
中間有啲extreme values但因為有時個changes真係好細，所以個相對difference會好大咁我都接受到
到呢度睇落都ok啦，基本冇計錯數先
問題就唻嘞，實際backward simulation之後再比較返TQQQ個實際價，每日嘅% difference就好難睇(圖)
唔好講+-3%，甚至係有段長時間都keep住-5%以上…
雖然平均difference只係-3.1%，叫做接受到，但如果每日個走勢係咁嘅話，對一個path dependent嘅portfolio我諗都係冇咩價值，不堪用了
有冇巴打出手
諗住TQQQ得咁少數據，連08年都冇包，就想自己用返nasdaq 100 backward simulation返之前嘅數字出唻做portfolio test
首先就將每日nasdaq 100個變化同返實際TQQQ嘅變化比較，咁多年嘅平均difference只有+0.09%
中間有啲extreme values但因為有時個changes真係好細，所以個相對difference會好大咁我都接受到
到呢度睇落都ok啦，基本冇計錯數先
問題就唻嘞，實際backward simulation之後再比較返TQQQ個實際價，每日嘅% difference就好難睇(圖)
唔好講+-3%，甚至係有段長時間都keep住-5%以上…
雖然平均difference只係-3.1%，叫做接受到，但如果每日個走勢係咁嘅話，對一個path dependent嘅portfolio我諗都係冇咩價值，不堪用了
有冇巴打出手
有冇減番0.95%管理費
另一個誤差來自swap既利息
你去睇佢report就知道 佢同唔同銀行簽swap要比一筆利息
雖然係risk free rate但係錢黎 長遠會有0.5~1%誤差
呢個rate每間銀行每次簽都可以改變
我聽番黎既就係呢筆成本係唔會計入每年0.95%入面
(你諗下TQQQ有210% asset係swap 個rate由0.35~0.9%不等
當佢係0.5%好啦 0.5% * 210% = 1.05%已經回到本啦)
而係透過製造/消滅ETF股票既過程入面manipulate個價令到現價會反映埋呢一筆費用
不過聽落好唔make sense 因為佢prospectus冇提過呢d野
但我搵唔到更好既解釋 網上有人問但係冇人解
但如果呢筆費用係存在既話 300% QQQ對TQQQ既溢價應該係一路向上至係 除非佢中間可以做到負息既swap
另一個誤差來自swap既利息
你去睇佢report就知道 佢同唔同銀行簽swap要比一筆利息
雖然係risk free rate但係錢黎 長遠會有0.5~1%誤差
呢個rate每間銀行每次簽都可以改變
我聽番黎既就係呢筆成本係唔會計入每年0.95%入面
(你諗下TQQQ有210% asset係swap 個rate由0.35~0.9%不等
當佢係0.5%好啦 0.5% * 210% = 1.05%已經回到本啦)
而係透過製造/消滅ETF股票既過程入面manipulate個價令到現價會反映埋呢一筆費用
不過聽落好唔make sense 因為佢prospectus冇提過呢d野
但我搵唔到更好既解釋 網上有人問但係冇人解
但如果呢筆費用係存在既話 300% QQQ對TQQQ既溢價應該係一路向上至係 除非佢中間可以做到負息既swap
屌，坐緊隻OOTO
1.05%已經回唔到本啦*
--------
btw如果你得5%誤差已經唔錯
Hedgiefunie個simulation入面佢既simulated UPRO係呢十年都係-3%到
而且條curve走法同你差唔多
見 https://www.bogleheads.org/forum/viewtopic.php?f=10&t=272007&start=1050#p4426310
之後果十幾頁都係討論simulation 我就冇心機睇曬啦但巴打可以參考下
--------
btw如果你得5%誤差已經唔錯
Hedgiefunie個simulation入面佢既simulated UPRO係呢十年都係-3%到
而且條curve走法同你差唔多
見 https://www.bogleheads.org/forum/viewtopic.php?f=10&t=272007&start=1050#p4426310
之後果十幾頁都係討論simulation 我就冇心機睇曬啦但巴打可以參考下
https://www.bogleheads.org/forum/viewtopic.php?f=10&t=272640&p=4426315#p4424417
更舊既data會受佢地參考既拆息率對象所影響 (LIBOR vs fed rate etc)
另一個問題係weekend會白食個rate
---
I think I finally got to the bottom of this. LETFs just do NOT resell their swaps (or futures) entire positions at the end of the day ...This may involve some buying/selling of their regular index positions as well as some buying/selling of their swap/future positions, but this is an INCREMENTAL process.
...
The indirect implication of such incremental considerations is that, at the end of the week (or before a holiday), the LETF keeps its position with swaps/futures, according to the targeted market exposure. And then over the week-end/holidays, well, the borrowing costs keep adding up.
...
I actually verified it by comparing the MSCI USA Leveraged 2X data series to the theoretical 2x leveraged model...when using a LIBOR/overnight data series while forcing the non-trading days to zero borrowing costs, this just doesn't match. When using a LIBOR/overnight data series while leaving the rates as is for non-trading days, funny, it matches perfectly. Same applies to S&P 500 Leveraged/Inverse 2x data series (I'll discuss special considerations about the regular S&P 500 leveraged series in the next post). And as I'll explain later, this also better matches the LETF actuals. A solid reasoning confirmed by empirical data from multiple independent sources, I think we're on solid ground here.
更舊既data會受佢地參考既拆息率對象所影響 (LIBOR vs fed rate etc)
另一個問題係weekend會白食個rate
---
I think I finally got to the bottom of this. LETFs just do NOT resell their swaps (or futures) entire positions at the end of the day ...This may involve some buying/selling of their regular index positions as well as some buying/selling of their swap/future positions, but this is an INCREMENTAL process.
...
The indirect implication of such incremental considerations is that, at the end of the week (or before a holiday), the LETF keeps its position with swaps/futures, according to the targeted market exposure. And then over the week-end/holidays, well, the borrowing costs keep adding up.
...
I actually verified it by comparing the MSCI USA Leveraged 2X data series to the theoretical 2x leveraged model...when using a LIBOR/overnight data series while forcing the non-trading days to zero borrowing costs, this just doesn't match. When using a LIBOR/overnight data series while leaving the rates as is for non-trading days, funny, it matches perfectly. Same applies to S&P 500 Leveraged/Inverse 2x data series (I'll discuss special considerations about the regular S&P 500 leveraged series in the next post). And as I'll explain later, this also better matches the LETF actuals. A solid reasoning confirmed by empirical data from multiple independent sources, I think we're on solid ground here.
加息嘅時候 債ETF都跌？
大把有錢人唔係咁諗，專門投資初創，窮撚跟住有錢人走就夠
https://lih.kg/bdofjnV
https://lih.kg/uGqRJRX
td;lr 加息對長期息口會造成短期波動而長期影響不大
同時提供防守力(跌市穩定portfolio/購買力)既作用不變
https://lih.kg/uGqRJRX
td;lr 加息對長期息口會造成短期波動而長期影響不大
同時提供防守力(跌市穩定portfolio/購買力)既作用不變
冇直接寫但係annual report到swap agreement個notional amount係固定既
所以應該用USD
所以應該用USD