New answers tagged etf
I may not have fully understood your question, but I assume you are asking what will happen on a leverage portfolio over time if the underlying price stays the same. A leveraged portfolio would likely eventually go to zero (and below) simply because of the cost of leverage. At minimum, you are borrowing at the risk-free rate. An ETF would just go to zero.
The current contract value is roughly 30k euros. The bidask spread is 1 tick, which equals 10 euros. Lets say you buy the contract and roll 3 times a year and then liquidate your position at expiry. You will hence pay 1 full bidask spread + 3 rolls, which if done via spreads with market orders, are equal to 1 tick each, hence you will pay 40 euros on bidasks ...
I don't have much experience in the matter, but I've been doing some related literature research recently and I think these links can be helpful: A rather recent study from CME A (possible a bit biased) report by BlackRock A report by Lyxor (asset manager affialiated to Societe Generale)
MorningStar or Lipper will be your best bets if you want everything in a nice machine readable format. factset/etf.com or etfdb are great sources for etf data. If you want to go through the web, you can try etf.com or etfdb.com for the ETFs and morningstar.com for the mutual funds.
I found a blog post that does a great job summarizing the mechanics behind them. Another great article on the relationship between the pair and the future.. Which may have an impact on linearizing the VIX Futures Term Structure?.
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