Michael Bommarito

ProShares Ultra and UltraShort Sector ETFs: Does 2 = 2?

Also, in response to User 170913, I've used adjusted close values for these calculations, so the dividends are already incorporated.

ProShares Ultra and UltraShort Sector ETFs: Does 2 = 2?

All numbers I use in calculations are cumulative log-returns, so Ben and Cato's comments are not relevant. The bar charts are endpoint cumulative log-return comparisons converted to standard %-return.

ProShares Ultra and UltraShort Sector ETFs: Does 2 = 2?

Roger & 2TallTurk, note that I'm not talking about whether these funds return twice their underlying index's price return. I point readers to the ProShares article on the difference between daily NAV tracking and cumulative price return...

What I *am* investigating is why the daily NAV return for these fund pairs do not match. That is, the daily NAV return of UYG should be the negative of the daily NAV return of SKF.

2TallTurk, note that I readily accept tracking error from portfolio construction. These ProShares funds have done well considering that the difficulty of matching the magnitude of returns lately. I was merely investigating alternative reasons for the imbalance.

ETFs/CEFs Furthest From 20-DMA; Best YTD Performance

Hello Carlos,
Yes, I agree that volatility of returns is very important. If you're interested, I've described a similar setup with weighted rankings on the various estimated moments and metrics of return distributions.

Just curious, do you have all funds categorized as you do in that table? Also, just to see if we're on the same page, I'm currently tracking about 1140 funds; does that number sound similar to yours?

The Case Against Leveraged ETFs

I think I have some additional data that shows the inefficiencies in these inverse funds might be related to vega sensitivity. I summarize the argument in the bottom paragraphs.

Very nicely work compiling this Tristan.