Comments on: Testing Out The Hypothesis on Shorting Paired Leveraged ETFs

By: Preet

Preet — Wed, 08 Jul 2009 17:45:54 +0000

@moosey – sorry I can’t find anything really. I don’t subscribe to any investment newsletter at all actually… Let us know if you find anything.

By: moosey

moosey — Tue, 07 Jul 2009 16:51:43 +0000

Anybody have suggestions on newsletter that tracks and recommends Canadian ETFs?

By: BobJ

BobJ — Mon, 08 Jun 2009 14:27:06 +0000

As usual, you figure something out as soon as you ask for help. The end date came up as June 6, (Saturday) so didn’t have a price. As soon as I changed it to the 5th, everything filled.

This is going to be fun to play with changing starting/ending dates for the different stock cycles.

Thanks Preet/Jordan!

By: BobJ

BobJ — Mon, 08 Jun 2009 14:18:18 +0000

This is a very interesting concept. I made the mistake in the past of holding a 2X ETF, and saw the effects of the equity dripping away daily.

I have a problem with the spreadsheets above. They open, but the data doesn’t fill. When I go to “details” the fields just say “loading”. Can you tell me what I’m doing wrong.

Thanks

By: cannon_fodder

cannon_fodder — Fri, 05 Jun 2009 14:27:07 +0000

I think what this really shows is that shorting the 2x ETFs generates good returns over the long haul. The strategy to me would be to short the TSX/60 bear as I would expect in 3-5 years the underlying index would be higher.

By: Preet

Preet — Fri, 05 Jun 2009 04:12:44 +0000

@Jordan – right back at ya: thanks for sharing! :)

By: Jordan

Jordan — Thu, 04 Jun 2009 22:18:00 +0000

Here is the S&P 500 with IVV, SSO, SDS which has a longer history, starting in July 2006.

It’s 2x leverage, resulted in 28% benchmark out performance:
http://spreadsheets.google.com/ccc?key=rZdXKltF-vuT5V4LZYOXPkA

The Russel 2000 : Index IWM, Bull: UWM, Bear: TWM
This is 2x leverage, an amazing 40% out performance? Jesus!

http://spreadsheets.google.com/ccc?key=r8xiYdqd27Lurd4jAQjMuIw

By: Jordan

Jordan — Thu, 04 Jun 2009 21:59:23 +0000

Preet, thanks for sharing!

So I’ve made some modifications to your spreadsheet, it’s now fully automated so you only have to put in the start date and symbols and it will look up the historic start prices.

You can also now change the amount of equity, interest rate, and % allocated to each equity on the first sheet.

I’ve also tried it out on a few more indexes and made public spreadsheets for anyone else to see and edit themselves:

S&P 500 : Index: IVV, Bull: RSW, Bear: RSU

This is 2x leverage, the result 29% benchmark out performance:
http://spreadsheets.google.com/ccc?key=rnmTshMlWhy02Q07badodIQ

MSCI Developed : Index: EFA, Bull: DZK, Bear: DPK

This is 3x leverage, the result +6.5% benchmark out performance:
http://spreadsheets.google.com/ccc?key=r7XuVM83tBaxWW7S-HeeW2g

Emerging : Index: EEM, Bull: EDC, Bear: EDZ

This is 3x leverage, the result -9.91% benchmark UNDER performance:
http://spreadsheets.google.com/ccc?key=rpHLG0ze1a8CX1T6mOdK5qA

And also the original XIC, HXU, HXD
http://spreadsheets.google.com/ccc?key=r8ds7ZybVaihyrU02hN5ghA

By: karash

karash — Thu, 04 Jun 2009 17:54:09 +0000

Preet,
Could you also send me the ‘invite’ for downloading the spreadsheet.!

By: Preet

Preet — Thu, 04 Jun 2009 17:04:34 +0000

@Returns Reaper – Hard to borrow fees would kill the strategy in the real world. But my broker has no hard to borrow fees on HXU and HXD (at this time anyways). 2X ETFs make up close to 90% of the leveraged ETF market, so from a practical point of view using 3x ETFs won’t work, and 2x might.