Skip to main content

Do Up and Down Order in Asset Price Matter for 2X or 3X Bull ETFs?

This post tackles the problem if there are fixed number of ups and downs with a magnitute of 1% in asset prices, whether leveraged ETFs are more dangerous?. This simulator shows a random order of fixed number of ups and donws of 2% for 2x bull and 3% for 3x bull.

Percent Change in 1x bull asset:

Number of Ups: Number of Downs
t 1x return 1x price 2x price 3x price
0 0 100 100 100

Comments

Popular posts from this blog

Which is better? BND or AGG?

The US 10-year treasury yield has reached at 2007-2008 years level, which is about 16 years ago. From a technical point of view, it is a buy. Then there are 2 bond ETFs that I am interested in. There are BND and AGG. They are very similar in nature. US 10 year Treasury Bond, chart, prices - FT.com Expense Ratio BND: 0.03% AGG: 0.03% The same. Turnover Rate BND: 40.00% AGG: 104.0% BNG seems better. Historical Performance Comparison Investment duration: 5 years with no tax on dividends BND wins a little with winning rate of 57.5%, but AGG wins 0.012% in return. Investment duration: 5 years with 30% tax on dividends AGG wins a little with winning rate of 65% and a 0.079% difference on average. Investment duration: 10 years with no tax on dividends AGG wins a little with winning rate of 67% and a 0.024% difference on average. Investment duration: 10 years with 30%  tax on dividends AGG wins a little with winning rate of 99% and a 0.095% difference on average. C...