c*o
2 楼
被降级了
j*b
6 楼
If the market keeps flat, then faz decays faster than fas. This is because "
mathematically", the market is also "supposed" to decay. You see if the
market goes up 10%, then goes down 10%, it becomes .9*1.1=.99, a decay of 1%
. So if the market can keep flat, that's like there is a "upward trend" to
counteract the "natural" decay. This "upward trend" favors fas.
【在 r*m 的大作中提到】![](/moin_static193/solenoid/img/up.png)
: 跟您请教个事。
: FAS和FAZ都是3X, 我以为是对称的。假如underlying的asset是随机运动, 那么FAS和
: FAZ的compound decay似乎也应该是相当的。但实际上FAZ比FAS的损失要快。请问这是
: 最近这两年市场走势造成的,还是数学上决定的?(也就是说这个decay并不是完全对
: 称的)
: 谢谢!
mathematically", the market is also "supposed" to decay. You see if the
market goes up 10%, then goes down 10%, it becomes .9*1.1=.99, a decay of 1%
. So if the market can keep flat, that's like there is a "upward trend" to
counteract the "natural" decay. This "upward trend" favors fas.
【在 r*m 的大作中提到】
![](/moin_static193/solenoid/img/up.png)
: 跟您请教个事。
: FAS和FAZ都是3X, 我以为是对称的。假如underlying的asset是随机运动, 那么FAS和
: FAZ的compound decay似乎也应该是相当的。但实际上FAZ比FAS的损失要快。请问这是
: 最近这两年市场走势造成的,还是数学上决定的?(也就是说这个decay并不是完全对
: 称的)
: 谢谢!
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