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Hedged Convexity Capture Part III
I am managing money for many years using US listed ETFs, using my in-house tools....with respect to correlation between SPXU & TMV, please note that for the last four years correlation has been generally negative with a range of Max +0.27; Min -0.89; Current -0.10.
I do invest using investment strategies exploiting Leveraged ETFs flaws of daily resetting (somehow Larry has given a fancy name 'negative convexity'), but i don't like the max draw-down of -25.13% of Larry's strategy (going short both TMV and SPXU)...rather i manage the same strategy wherein i reduce my draw-down to less than -4%.....(by going long 25% each of IWM & TLT, and short 12.5% each of TMF, TMV, TNA and TZA)...
Sep 11 12:05 PM
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