一份小小的圣诞礼物；杠杆ETF套利的概念 (A small X-Mas present; concept for lever)
check your brokers, if their terms & conditions meet the criteria, for a professional trader (low margin rates!) 40percent per annum are feasible, as long as the broker allows it ;-)
clever ones use two brokers, one per leg of the ARB. Margin reqs rise, but risk of detection goes zero
L.E.A. leveraged ETF Arbitrage
Profit Criteria:
ss > 0
ss x L x ETF > sl x LETF
Yield Criterion:
[ss x L x ETF] - [sl x LETF]
---------------------------------------------- > ymy
[ms x L x ETF] + [ml x LETF]
ss swap (finance rate) short positions
sl swap (finance rate) long positions
LETF a leveraged ETF of your choice, should have an un-leveraged counterpart for replication
L leverage factor
ETF the non-leveraged ETF
ms margin requirement short position
ml margin requirement long position
ymy YOUR minimum yield
WARNING: This is only a statistical Arbitrage, ie running above positions your expectation value is (highly) positive but still path dependent. In times of significant trends (up or down) above Arbitrage performs perfectly well due to the compounding effect of the leveraged ETF, in times of mere volatility the "death drift" (-0,5 x Variance(LETF)) of the ETF becomes effective.
For a fully fledged Arbitrage options have to be added. With options the complete range of potentially realized returns (= Variance Spectrum) can be covered.
happy x-mas and a prosperous new year
clever ones use two brokers, one per leg of the ARB. Margin reqs rise, but risk of detection goes zero
L.E.A. leveraged ETF Arbitrage
Profit Criteria:
ss > 0
ss x L x ETF > sl x LETF
Yield Criterion:
[ss x L x ETF] - [sl x LETF]
---------------------------------------------- > ymy
[ms x L x ETF] + [ml x LETF]
ss swap (finance rate) short positions
sl swap (finance rate) long positions
LETF a leveraged ETF of your choice, should have an un-leveraged counterpart for replication
L leverage factor
ETF the non-leveraged ETF
ms margin requirement short position
ml margin requirement long position
ymy YOUR minimum yield
WARNING: This is only a statistical Arbitrage, ie running above positions your expectation value is (highly) positive but still path dependent. In times of significant trends (up or down) above Arbitrage performs perfectly well due to the compounding effect of the leveraged ETF, in times of mere volatility the "death drift" (-0,5 x Variance(LETF)) of the ETF becomes effective.
For a fully fledged Arbitrage options have to be added. With options the complete range of potentially realized returns (= Variance Spectrum) can be covered.
happy x-mas and a prosperous new year
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