長期持有指數/全市場ETF討論區

首先RSSB NTSX就唔係主動型，二嚟有人問有咩leverage方法咁咪有人答leverage etf囉，你唔鍾意用leverage etf咪討論下點解囉

5% band rebalancing

你而家既組合已經唔錯
唔加都得

想知咩係因子投資可以望下條link:
https://youtu.be/YCEdSco0EXY?si=Wp4PGPux7BLs2q12

或者呢本書:
因子投資（二版）：聰明錢操盤者的交易決策理論
Your Complete Guide to Factor-Based Investing The Way Smart Money Invests Today

唔熟RSSB，啱啱用咗20分鐘搵咗少少資料，唔保證一定啱。有咩唔同意大家再討論。

RSSB到底係active ETF定係passive ETF？

Q：點解有人認為RSSB係active ETF？
A：
RSSB嘅prospectus開宗名義寫明「The Fund is an actively-managed.」

Q：點解有人認為RSSB係passive ETF？
A：
RSSB嘅運作遵守簡單嘅規則，RSSB嘅簡介寫「For every $1 invested, the Fund attempts to provide $1 of exposure to its Global Equity strategy and $1 of exposure to its U.S. Treasury Futures strategy.」

RSSB唔係主動選擇個股，而係以固定比例買環球股票ETF (e.g. VTI, VXUS)、買美國國債。

Q：Prospectus點樣寫？
A：
詳細睇RSSB嘅prospectus，RSSB會根據市場情況調整股票exposures。
正常情況投資至少4成喺非美國股票，市況唔好就調整為至少3成。
「Under normal conditions, the Fund will invest at least 40% of its assets (unless market conditions are not deemed favorable, in which case the Fund would invest at least 30% of its assets) in companies in multiple countries outside of the Unites States.」

RSSB債券嘅target duration係2-8年，但係具體數值點樣決定、會唔會變文件冇講。
「The Fund will invest in futures contracts on U.S. Treasuries with maturities ranging from 2 to 30 years, with a target duration of 2 to 8 years.」

投資準則隨時會變
「Under normal circumstances, the Fund will invest at least 80% of its net assets, plus borrowings for investment purposes, in (a) global equity securities and ETFs that, in the aggregate, provide exposure to the global equity markets, and (b) U.S. Treasury future contracts that provide the Fund with indirect exposure to the performance of the U.S. treasury bond market. The Fund’s “80%” policy is nonfundamental and can be changed without shareholder approval. However, Fund shareholders would be given at least 60 days' notice prior to any such change.」

Q：你有咩結論？
A：個人認為係偏向passive嘅active ETF。大多數情況下運作偏向passive，但亦都留咗空間喺極端市況做active操作。

資料來源
Prospectus
https://www.returnstackedetfs.com/rssb/prospectus

Investor Presentation
https://www.returnstackedetfs.com/wp-content/uploads/2024/02/RSSB-Presentation.pdf

有啲怕呢啲喺極端市況變做active嘅操作，例如嗰時三星原油期貨咁，無端端自動投降

https://hk.finance.yahoo.com/news/f三星原油期-3175-轉倉對香港etf的影響-030508131.html

買etf都唔叫槓杆？

就*

槓桿嘅定義係你所攞有嘅exposure大過你所投入嘅asset
咁RSSB / NTSX 有嘅咪就係200%/150% 嘅exposure囉
明明係自己你自己冇界好題
根本自己係想問有咩平借錢投資方法
又up左槓桿呢個superset出黎
答唔到你心入面條蟲嘅諗法 又話入亂up

界你碌啫咩，我問架咩？我係答人有咩槓桿嗰個呀盲俠

咁佢答etf 何來離題啊
槓桿係咩都未識
學人走去比喻

係呀你講得啱你慢慢

頭先我亦都順手問咗發行商到底RSSB係屬於private定係active。
我嘅提問：
https://poe.com/s/hf4dcuBEpcYQbTSP3qX9
佢啱啱都覆咗我：

Hi XXXXXX –

Thank you for reaching out regarding RSSB and its designation as an active ETF.

The distinction between "active" and "passive" ETFs is a defined regulatory concept. Basically, the SEC defines a passive ETF as one that seeks to track a specific index. As RSSB does not specifically track an index, it is, by definition, an active ETF.

As managed, the equity component of RSSB seeks to provide exposure to global equities in line with broad, passive benchmarks such as the MSCI ACWI or FTSE All World. Similarly, the bond strategy seeks to provide exposure to a (fairly static) ladder of U.S. Treasuries (via futures).

While we do not perform any active security selection or tactical timing, the ETF is still considered active from a regulatory perspective.

I hope this is helpful.

Best,
Corey Hoffstein

當然SEC定義係一回事，文件又係另一回事，實際操作可能又係另一回事。
我理解就係絕大部份情況佢嘅運作係似passive，但係喺文件留咗少少空間俾佢active。
大家了解完覺得適合自己風格就買，覺得唔適合自己風格就唔好買，唔使太執着定義。

會唔會佢篇回覆都係搵AI寫

樓上兩位巴打唔好嘈
我係到拋磚引玉
研究左成個月
終於搵到一個最低磨擦成本既槓杆法
推薦比想玩lifecycle investing既巴打

係IB到開margin借Yen>兌美金->月供美股etf
年息率只係1.0-1.5%
相比起借美金6.0-6.5或者借信貸房貸
個息差有成4-5%

跟住有巴打可能會話：借yen換美金有利率風險
因為借yen換美金係放空緊yen
就算美股etf升 但如果yen都升既話
美金兌換返yen還Yen margin貸款會貴左
變相會剝削美股帶來既收益

所以巴打可以用一小部分margin資金
買看好Yen既期貨
咁就可以完全對沖yen升值既利率風險

巴打們點睇呢招槓杆法？

如果真係咁著數 我覺得你唔會係第一個發現
唔知點解釋但我覺得好少人醒到發明到新嘢

我唔係第一個發現
d人本身咁玩 係拎黎買美債賺息差
好少聽人講拎黎買波動性資產
始終margin跌太多係會斬倉
對長期持有etf係唔太友善

再者都唔係個個咁勇敢去長期開2倍槓杆
去持有all market etf
做到呢個操作既巴打
要對all market factor同lifecycle investing
兩者有全方位既了解先好咁玩
唔係個波動太高 夜晚訓教會唔舒服

如果夠膽咁玩
只要勤力少少就可以減低斬倉風險
可以每季做rebalance果陣
除左rebalance資產配置既比率
仲要rebalance埋個槓杆比率
將槓杆比率維持係1.8-2.2倍之間
咁個斬倉風險就已經好低

1. 各種academic research已經話俾我哋知currency carry trade唔work, 或者唔能夠reliably咁work

https://rady.ucsd.edu/_files/brandes/long-term-thinking/currency-carry-trade.pdf

2. 學過interest rate parity就會知道借jpy買usd asset再加左curency hedge之後其實同直接用usd買usd asset係一樣. 現實中, 如果喺ib借jpy, 你仲會蝕咗少少spread畀ib. 你唔信的話, 落手計一次就知.

3. 真正最低cost leverage嘅方法係long equity futures (或者eqv, e.g. long call short put). 借貸成本大約就係fed rate/swap rate左右.

你買yen期貨
咪啫係借美金 買yen
所以最後都要俾番美金d息

多謝巴打教學
想問一啲比較冷門既etf
e.g. Qmom AVUV等因子etf
相比起大型指數期貨
可唔可以做到long equity futures？

冇研究開

有陣時市場波動係會偏離interest rate parity嘅平衡，例如零八年股災啲人對美元同歐羅信心下跌，日圓急升，呢個時候你再借日圓轉美金撈底就Fat Fat