Skip to main content
3 votes

TRS and leveraged etf

First, there must exist an un-levered version of the ETF or another index product, the constituents of the index are known and tradable, or an options market for the index, or other source of risk of ...
AlRacoon's user avatar
  • 6,632
2 votes

ETF Market Making Hedging

Market makers can and do try to make money by deciding how and when to buy / sell the underlyings, unless they are specifically prevented from having that agency by having some sort of stated ...
ThatDataGuy's user avatar
2 votes

ETNs as bank funding

This is a hypothetical answer to your source of cheap funding question. Assume that swap rates are lower than the market yield on a bond the bank could issue to the market. They might instead enter ...
fgh's user avatar
  • 21
2 votes

Portfolio Optimization with ETFs and Futures

I did the same experiment using yahoo finance to get charts. I took the SPY, the VIX and third ETF for comparison. First have a look at the volatility of the 3 vehicles: You can see that the VIX has ...
lehalle's user avatar
  • 12.3k
2 votes

Getting ETF components (underlying stocks)

To answer the "where", you can scrape the info you need from SEC forms NPORT-P. they are monthly and contain the underlying positions of each ETF in Part C of the form. (see example here ...
mountshoutcap's user avatar
1 vote

Deriving the approximation for leveraged ETF returns?

Here is my thought: As mentioned in the paper, this is a Taylorseries of the function $$ f(\mu)=ln(1+k\mu) $$ The first derivative of this is $f'(\mu)=\frac{k}{(1+k\mu)}$, the second derivative is $f''...
T123's user avatar
  • 555
1 vote

calculating net exposure to an index

So the return on one fund is: $1.5\alpha$ And the return on the other is: $-1.0\alpha$ Where $\alpha$ is the return of your index. And you want to target a specific return as a multiple of your ...
Attack68's user avatar
  • 10.8k
1 vote

Leveraged ETF construction

In the paper by Cheng and Madhavan (2010) you will find an explicit example how to construct leveraged ETFs using TRS and what are the issues with it: https://jplinvest.dk/wp-content/uploads/2020/12/...
T123's user avatar
  • 555
1 vote

Why do unleveraged VIX ETPs have large beta relative to VX futures, with much faster decay?

Answering my own question. I've discovered why the "continuous VX futures" series above has vastly less decay than the nominally equivalent VIX ETF(s). The standard way in which continuous ...
barneypitt's user avatar
1 vote

ETF Market Making Hedging

In addition to @ThatDataGuy reply, that MM decide which positions and when to hedge, another point in ETF market making is the following: For hedging positions on large baskets (as indexes) the best ...
KT8's user avatar
  • 855

Only top scored, non community-wiki answers of a minimum length are eligible