swampfire
06-09
$两倍做多波动率指数期货ETF(UVIX)$
为啥一直跌,vix 不是正的吗
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炽焰金
06-10
炽焰金
因为每天的倍数都是以单日为基准的,比如:假设第一天跌8%,第二天涨9%,
一倍ETF收益率是(1-8%)x(1+9%)-1=0.28%;
2倍杠杆的收益率是(1-8%x2)x (1+9%x2)-1= —0.88%,这时候一倍是正收益,而两倍还是负收益。所以两倍杠杆的复利收益率不等于一倍杠杆收益率x倍数2。
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一倍ETF收益率是(1-8%)x(1+9%)-1=0.28%;
2倍杠杆的收益率是(1-8%x2)x (1+9%x2)-1= —0.88%,这时候一倍是正收益,而两倍还是负收益。所以两倍杠杆的复利收益率不等于一倍杠杆收益率x倍数2。