Your results for “Long 3ETF-Trader Plus & Short ETF Trader” (page 2, comment 7 of this post) are very impressive. However, I am confused about something: Can you explain why you would want to short inverse ETFs to create an enhanced long position during bull markets? This seems like a very difficult (although apparently effective) way for an investor to achieve the objective. Why not simply use margin to increase leverage on long ETFs when conditions are bullish (or add additional leverage to an inverse position when bearish)?
I am fascinated by your results and really want to learn about this. After all these years (~35) in the investment business, I am always amazed that there are new things to learn from creative individuals such as yourself!
Marco, extensions are extremely useful, thanks for that.
If it is possible and if you have time to do it, I would be happy to have CWB,JNK and WIP, respectively based on:
Bloomberg Barclays U.S. Convertible Bond >$500MM Index
Bloomberg Barclays High Yield Very Liquid Index
Citi International Inflation-Linked Securities Select Index
If not possible, don’t worry, the job done is already amazing.
@ Georg and Chris
Shorting leveraged ETFs (regular or inverse, or together to get a kind of “market-neutral” strategy) looks a great idea on paper. It is supposed to be a smart idea to profit by the beta-slippage bias (sometimes called “leveraged decay” or “negative drift”). I let you decide if it is really smart after reading what follows (clue: I have done it it in 2011 during a few months, then I stopped):
1/ the drift is positive in trending markets with moderate volatility, meaning the product may do much better than its leveraging factor during months or years (it’s the basic math of compounding gains or losses).
2/ as Riki37 comments, borrowing rates may be very high.
3/ Moreover, they are variable.
4/ Shares may be called back for any reason or no reason at any time. If you cannot trade out yourself, your broker will force the transaction after daily closing at any price they want between the daily high and low. It happened to me in 2011 at IB. Fortunately with no harmful consequences, but since then I have not touched this kind of game.
5/ When several positions are involved, strategies on leveraged products may be very sensitive to starting dates and rebalancing periods.
Hope this helps.