请教RIM有关FAZ的一个问题 - 未名空间MITBBS历史存档

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请教RIM有关FAZ的一个问题

请教RIM有关FAZ的一个问题# Stock

T*s2011-09-23 07:09

1 楼

在考虑SHORTFAZ或SHORT FAZ的call。有两个问提想请教一下;
1.你提到过由于FAZ设计的问题，最后会归零。但是具体到底是什么设计问题会使FAZ最
后归零，是由于FEE的原因？你有这方面的链接吗？
2.我看到FAZ在09年的时候，根据YAHOO的图型，到过1000多块一股，这是什么原因？是
因为反向SPLIT的原因吗？谢谢。

l*c2011-09-23 07:09

2 楼

Suppose market down 33% one day, up 33% next day, you invest $100 in faz
100 * (1 + 3 * 33%) = 199
199 * (1 - 3 * 33%) = 1.99
your $100 becomes $1.99 although the market is flat.
if the market up 33% first, then down 33%
your $100 becomes $1.33
the above calculation is not very accurate

【在 T*******s 的大作中提到】

: 在考虑SHORTFAZ或SHORT FAZ的call。有两个问提想请教一下;
: 1.你提到过由于FAZ设计的问题，最后会归零。但是具体到底是什么设计问题会使FAZ最
: 后归零，是由于FEE的原因？你有这方面的链接吗？
: 2.我看到FAZ在09年的时候，根据YAHOO的图型，到过1000多块一股，这是什么原因？是
: 因为反向SPLIT的原因吗？谢谢。

B*O2011-09-23 07:09

3 楼

I cannot hold any more
Market up 33% then down 33% does not mean market is flat!!!!!
This is a simple math problem that applies to all stocks, not just FAZ!!!!!
No wondering people get wiped out for no reason.
Tell me, is market flat if it is down 99% then up 99%?

【在 l******c 的大作中提到】

: Suppose market down 33% one day, up 33% next day, you invest $100 in faz
: 100 * (1 + 3 * 33%) = 199
: 199 * (1 - 3 * 33%) = 1.99
: your $100 becomes $1.99 although the market is flat.
: if the market up 33% first, then down 33%
: your $100 becomes $1.33
: the above calculation is not very accurate

o*o2011-09-23 07:09

4 楼

假设指数从1000点涨到1100，然后第二天掉回1000. 投资1000在FAS FAZ，
FAS 1000 * (1 + 300/1000) * (1 - 300/1100) = 945.45
FAZ 1000 * (1 - 300/1000) * (1 + 300/1100) = 890.91

m*o2011-09-23 07:09

5 楼

Shorting only FAZ or FAS just for the compounding error to kick in slowly is
too risky. One strategy is to short FAZ and FAS with the same amount of
money at the same time. Suppose that you had 150K and used 50K to short FAZ,
50K to short FAS, and kept the rest 50K in cash.
8/8 FAZ 80, FAS 12.50
9/23 FAZ 69, FAS 10.50
The current return is (50K-50K/80*69) + (50K-50K/12.5*10.50) = 6875+2000=
14875. And you didn't need to do anything. Of course there is a RISK!
Theoretically, FAS can lose 100% and FAZ can grow to infinity. For example,
assume that the finance sector has 10 straight 3.33% decline in two weeks. We
have (1+10%)^10=259% + (1-10%)^10=35%, which is barely close to 300%. That's
why you need to 50K in cash! So as long as FAZ does not grow to 300%, there is no
risk of margin call, but you have lost 50K for sure:-). Another direction that
FAS grows to 300% is even smaller under the current economic situation.
You need a strong heart and be prepared to take some temp loss.