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short short etf + short long etf
- Thread starter Sundog
- Start date
From my perspective the idea is that these futures related funds, like VXX or UNG, have that well-known issue of roll-forward cost. XIV and GASZ take the reverse position in the futures, and both have a positive price history as opposed to the negative ones in VXX and UNG.
So the OP is proposing shorting both, an interesting idea. I would have thought going long the reverse and shorting VXX or UNG as a hedge, but I confess I haven't given this much thought, so I don't know if that would work. He knows someone doing something like this and it's working for that person, so that means there may be something to shorting both of them.
So the OP is proposing shorting both, an interesting idea. I would have thought going long the reverse and shorting VXX or UNG as a hedge, but I confess I haven't given this much thought, so I don't know if that would work. He knows someone doing something like this and it's working for that person, so that means there may be something to shorting both of them.
Quote from trefoil:
From my perspective the idea is that these futures related funds, like VXX or UNG, have that well-known issue of roll-forward cost. XIV and GASZ take the reverse position in the futures, and both have a positive price history as opposed to the negative ones in VXX and UNG.
So the OP is proposing shorting both, an interesting idea. I would have thought going long the reverse and shorting VXX or UNG as a hedge, but I confess I haven't given this much thought, so I don't know if that would work. He knows someone doing something like this and it's working for that person, so that means there may be something to shorting both of them.
That was clear...but you haven't specified how there is any money made ... you repeated what I said and what's already known..... roll cost in one instrument is a benefit in the other to the exact same degree! You can't make money like this... if you want to make roll cost you have to expose yourself to price
Roll over costs, as long as one vehicle is suffering opposite than the other from contango or backwardation, you will see a under or outperformance, because they use different months in their calculation or they use more than one futures contract for their calculation.
Someone has to dig into the calculation, which futures months do they roll and when.
Difference in management costs are also reasons and a log price scale for most inverse products.
The best is to chart both on a screen. I´d like to see it with my on eyes. My mate is using excel for his ratios.
But again it just food for thought.
Someone has to dig into the calculation, which futures months do they roll and when.
Difference in management costs are also reasons and a log price scale for most inverse products.
The best is to chart both on a screen. I´d like to see it with my on eyes. My mate is using excel for his ratios.
But again it just food for thought.
Quote from cdcaveman:
That was clear...but you haven't specified how there is any money made ... you repeated what I said and what's already known..... roll cost in one instrument is a benefit in the other to the exact same degree! You can't make money like this... if you want to make roll cost you have to expose yourself to price
What Sundog said. Obviously you'd have to dig into the ways the fund is buying and selling the futures. Using the funds as opposed to executing the strategy on the futures might save on commish as you'd be doing a package of futures all at once, and maybe the fund mgrs can get a better price on the execution than you can.
But I'd think besides having to dig well into how they do what they do, you'd also have to worry about liquidity, as SunDog also brought up. A lot of these funds are very thinly traded.
I don't know anything about it, but I can tell you spreading is where it is at. They"ll never write any books about us, because we never hit it big. But I was doing just fine until I drifted away and got outright. Now it will take me forever to recover.
Get long something, and get short something else. That's the way to make a decent living.
And it aint that simple, you have to put layers upon layers on, and the death knoll is when you naively believe everything will just simply revert to the mean.
If it was that easy, everybody would be doing it.
But yeah, I like spreading, but keep it complicated, if it gets too simple, both sides can move against you and you feel like your head is in a vice.
Get long something, and get short something else. That's the way to make a decent living.
And it aint that simple, you have to put layers upon layers on, and the death knoll is when you naively believe everything will just simply revert to the mean.
If it was that easy, everybody would be doing it.
But yeah, I like spreading, but keep it complicated, if it gets too simple, both sides can move against you and you feel like your head is in a vice.