Proshares (Ever wonder what you are 2X Long/Short?)

As of 6/13....here is the Ultra Long weighting's for each stock.....My guess is that as the Fund grew in size they had to Increase each position proportionally....

http://www.proshares.com/funds/dig.html?Daily Holdings

Pretty close if you ask me.......Well I guess No Arbitraging without the right numbers....But who was really going to do that anyways....Hopefully if you are an ARB. you got the numbers to the exact share.....

Covariance #'s

DUG---(((-0.000311134)))
XOM---0.000103646
COP---0.000143886
SLB---0.000174404
CVX---0.00011797


$COSTAverageMAN
 
Good post $Cost, I hope it stimulates more conversation along these lines as there is a tremendous amount of value that can come out of these types of discussion, not the least of which is to motivate people to actually look a little deeper into these products. I hope it also gets some talking a little more about the other ETFs.

The one point I would make is that DIG and DUG are not 2x long or short the commodity Oil but rather the 2x the Dow Jones U.S. Oil & Gas Index (ie. integrated, drillers, and refiners).
It is better correlatted to the XLE a similarily constructed ETF. As you opened with, I am sure there are lots of people out there who don't know shit about this stuff and the way it correlates but trade it from what they hear in the media. As you say, and I'll reiterate, if you are too F'ing lazy to do a very modest amount of research and learn what these products really are.............. well, then I suppose you deserve what you get......... or don't get.

I trade the USO , XLE , and various 'Oils' daily, and I can tell you that while the XLE and its components were very good plays on the price of crude for a while the correlation has begun to break down a little lately. Seems the current price crude is not as beneficial to the producers as it was going from 100 to 125. Lately, crude will run, the USO will go with it but the XLE is less predictable. My most obvious explanation for this is that the Oil up, market down correlation is back in tact and hence the S&P falling as Oil rises causes a drag on the components of the XLE which are S&P 500 members. Not so with the USO which is tracking crude via futures contracts.
 
Hi Corey,

Why are you so sure that cov is the right metric? Its value is so easily skewed to an extent that has nothing to do with relative return. Just think about it carefully and one could easily get killed by just trading cov.

my 1c.

Quote from Corey:

Why does everyone insist on using <a href="http://en.wikipedia.org/wiki/Correlation">correlation</a> when <a href="http://en.wikipedia.org/wiki/Covariance">covariance</a> is the right metric? That would be far more interesting to know...

But all in all, good analysis. These 2x pro-shares are pretty much a scam and only good for short term trades. They lose tracking with the underlying target assets fairly quickly...
More...
 
Quote from $CostAverageMAN:

Since most of you young guns have no time on yours hands to do this kind of boring work....I will share this break down for you....Hope you enjoy and I hope it clears up some confusion I keep reading on ET....

I'm posting this, because some people don't know anything about what they are leveraged into with these products.....

Heck, even Dylan Ratigan and the whole fast Money crew mistake this from time to time when they tell people how to get long / short oil with the DIG and DUG....

Lets start with an easy one....Basic Materials.....UYM (2X Long) or SMN (2X Short)

Roughly 40% of the index is MON, FCX, DOW, DD, AA

Yea, it took me for surprise too the first time I saw that breakdown.....

If it were up to me the top 5 would be like......BHP, DD, NUE, WY, MON...That would cover Mining, Chemical, Steel, Wood, Ag....

Well anyways here it is!!!!

$COSTAverageMAN
More...

Nice contribution. Thanks. It made me think.
 
Quote from $CostAverageMAN:

Since most of you young guns have no time on yours hands to do this kind of boring work....I will share this break down for you....Hope you enjoy and I hope it clears up some confusion I keep reading on ET....

I'm posting this, because some people don't know anything about what they are leveraged into with these products.....

Heck, even Dylan Ratigan and the whole fast Money crew mistake this from time to time when they tell people how to get long / short oil with the DIG and DUG....

Lets start with an easy one....Basic Materials.....UYM (2X Long) or SMN (2X Short)

Roughly 40% of the index is MON, FCX, DOW, DD, AA

Yea, it took me for surprise too the first time I saw that breakdown.....

If it were up to me the top 5 would be like......BHP, DD, NUE, WY, MON...That would cover Mining, Chemical, Steel, Wood, Ag....

Well anyways here it is!!!!

$COSTAverageMAN
More...



I have seen too many people on these shows talk about buying DUG to short oil as well, the guys at fast money should know that DUG does NOT short oil. Aside from that im long DEE myself. I think its ready to rally, I see it trading back around $23 over the next month or so. Also long SMN and DUG. Any dip in SMN below $26 and DUG below $25 im buying more shares.
 
Quote from S2007S:

I have seen too many people on these shows talk about buying DUG to short oil as well, the guys at fast money should know that DUG does NOT short oil. Aside from that im long DEE myself. I think its ready to rally, I see it trading back around $23 over the next month or so. Also long SMN and DUG. Any dip in SMN below $26 and DUG below $25 im buying more shares.
More...

Yawn.
More "paper-trading" blather from the ET King of "Cut & Paste".
 
Quote from traderyin:

Hey,

Can you run an analysis with USO/SPY? Interesting in what the numbers come out to be.
More...

Daily changes --non-correlated over the long run.

attachment.php
 

Attachments

AND DAY #ONE for our double short US WTI (OIL) exchange traded ETN...Your welcome if you were looking for it....


Invesco PowerShares and Deutsche Bank to Launch Eight Base Metal and Crude Oil Linked Exchange Traded Notes

Last update: 8:36 a.m. EDT June 17, 2008
NEW YORK, Jun 17, 2008 (BUSINESS WIRE) -- Deutsche Bank and Invesco PowerShares Capital Management LLC today announced that they will launch eight Exchange Traded Notes (ETNs) linked to the performance of industrial metals and crude oil.
PowerShares DB Base Metals ETNs
Deutsche Bank will issue four ETNs linked to the Deutsche Bank Liquid Commodity Index - Optimum Yield Industrial Metals(TM). The industrial metals index is intended to reflect the price changes in a basket of aluminum, copper and zinc futures. The ETNs will be traded on the NYSE Arca, listed as follows:

PowerShares DB Base Metals Double Short ETN: (NYSE Arca: BOM)
PowerShares DB Base Metals Double Long ETN: (NYSE Arca: BDD)
PowerShares DB Base Metals Short ETN: (NYSE Arca: BOS)
PowerShares DB Base Metals Long ETN: (NYSE Arca: BDG)



The Base Metals ETNs will offer investors cost-effective and convenient short or leveraged exposure to base metals: the PowerShares DB Base Metals Double Short ETNs offer investors exposure to two times the monthly inverse performance of the industrial metals index plus a monthly T-Bill index return; the PowerShares DB Base Metals Double Long ETNs offer investors exposure to two times the monthly performance of the industrial metals index plus a monthly T-Bill index return; the PowerShares DB Base Metals Short ETNs offer investors exposure to the monthly inverse performance of the industrial metals index plus a monthly T-Bill index return; and the PowerShares DB Base Metals Long ETNs offer investors exposure to the monthly performance of the industrial metals index plus the monthly T-Bill index return.
PowerShares DB Crude Oil ETNs
Deutsche Bank will issue two ETNs linked to the standard version of the Deutsche Bank Liquid Commodity Index - Light Crude(TM). The benchmark crude oil index is intended to reflect the price changes in the Nymex light sweet crude oil futures. The ETNs will be traded on the NYSE Arca, listed as follows:

PowerShares DB Crude Oil Double Short ETN: (NYSE Arca: DTO)
PowerShares DB Crude Oil Short ETN: (NYSE Arca: SZO)



The PowerShares DB Crude Oil Double Short ETNs offer investors exposure to two times the monthly inverse performance of the DB benchmark crude oil index, plus the monthly T-Bill index return. The PowerShares DB Crude Oil Short ETNs offer investors exposure to the monthly inverse performance of the DB benchmark crude oil index, plus the monthly T-Bill index return.
Deutsche Bank will also issue two ETNs linked to the Deutsche Bank Liquid Commodity Index - Optimum Yield Crude Oil(TM). The ETNs will be traded on the NYSE Arca, listed as follows:

PowerShares DB Crude Oil Double Long ETN: (NYSE Arca: DXO)
PowerShares DB Crude Oil Long ETN: (NYSE Arca: OLO)



The PowerShares DB Crude Oil Double Long ETNs offer investors exposure to two times the monthly performance of the DB Optimum Yield(TM) crude oil index, plus the monthly T-Bill index return. The PowerShares DB Crude Oil Long ETNs offer investors exposure to the monthly performance of the DB Optimum Yield(TM) crude oil index, plus the monthly T-Bill index return.
Each of the eight ETNs are senior unsecured obligations of Deutsche Bank. Each security being offered has separate terms and offers investors a different type of monthly exposure to a total return version of the Deutsche Bank Liquid Commodity Index - Optimum Yield Industrial Metals(TM), the Deutsche Bank Liquid Commodity Index - Light Crude, or the Deutsche Bank Liquid Commodity Index - Optimum Yield Crude Oil(TM). Investors can subscribe to any of the eight offerings. Deutsche Bank will issue the securities in denominations of $25. All of the securities are subject to an investor fee.
 
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