c*********v
发帖数: 589 | 1 板上有位大牛说2x和3x指数在每月15号根据均价波动性除权，会导致在这一天价格突然
下降。我google了一下，没有找到这方面的信息。如果是rebalancing，应该是每天，
所以查的也许不对。
哪位给出链接，包子奉上。多谢！ | t*******5
发帖数: 170 | 2 这里的除权是指rollover吗？是不是每月第三个星期五，也就是期货合约到期前一天？
同疑惑。
【在 c*********v 的大作中提到】
: 板上有位大牛说2x和3x指数在每月15号根据均价波动性除权，会导致在这一天价格突然
: 下降。我google了一下，没有找到这方面的信息。如果是rebalancing，应该是每天，
: 所以查的也许不对。
: 哪位给出链接，包子奉上。多谢！
| g***c
发帖数: 11523 | 3 每月倒数第四个交易日
【在 t*******5 的大作中提到】
: 这里的除权是指rollover吗？是不是每月第三个星期五，也就是期货合约到期前一天？
: 同疑惑。
| x****m
发帖数: 33 | 4 不太对，这个问题很困惑，不同的etf 似乎有不同日期，比如uco - 哪位大牛懂给解释
一下？
ProShares Ultra Bloomberg Crude Oil and ProShares UltraShort Bloomberg
Crude Oil are designed to
correspond (before fees and expenses) to two times (2x) or two times the
inverse (-2x), respectively, of the daily
performance of the Bloomberg WTI Crude Oil SubindexSM , a subindex of the
Bloomberg Commodity IndexSM .
The Bloomberg WTI Crude Oil SubindexSM is intended to reflect the
performance of crude oil as measured by
the price of futures contracts of West Texas Intermediate sweet, light crude
oil traded on the NYMEX, including
the impact of rolling, without regard to income earned on cash positions.
The performance of the crude oil
futures market is normally very different than the performance of the
physical crude oil market (e.g. , the price of
crude oil at port). See “Risk Factors—The Commodity Index Funds are linked
to an index comprised of
commodity futures contracts, and are not directly linked to the ‘spot’
prices of the underlying physical
commodities. Commodity futures contracts may perform very differently from
the spot price of the underlying
physical commodities.”
The Subindex is based on the Crude Oil component of the Bloomberg Commodity
IndexSM and tracks what
is known as a rolling futures position. Unlike equities, which entitle the
holder to a continuing stake in a
corporation, commodity futures contracts specify a delivery date for the
underlying physical commodity or its
cash equivalent. The Bloomberg WTI Crude Oil SubindexSM is a “rolling
index,” which means that the Index
does not take physical possession of any commodities. An investor with a
rolling futures position is able to avoid
delivering (or taking delivery of) underlying physical commodities while
maintaining exposure to those
commodities. The roll occurs over a period of five Bloomberg WTI Crude Oil
SubindexSM business days in
certain months according to a pre-determined schedule, generally beginning
on the fifth business day of the
month and ending on the ninth business day. Each day, approximately 20% of
each rolling futures position that is
included in the month’s roll is rolled, increasing from 0% to 20%, 40%, 60%
, 80% and finally 100%. The
Bloomberg WTI Crude Oil SubindexSM will reflect the performance of its
underlying crude oil futures contracts,
including the impact of rolling, without regard to income earned on cash
positions. For more information about
the risks associated with rolling futures positions, see “Risk Factors—
Potential negative impact from rolling
futures positions.”
page 36 of uco prospectus
【在 g***c 的大作中提到】
: 每月倒数第四个交易日
| a**u
发帖数: 8107 | 5 除权到底会发生什么呢？对于uwti来说难道是股价一下子就减少了？
【在 g***c 的大作中提到】
: 每月倒数第四个交易日
|
|
