Investment Guide - What exactly are leveraged ETFs and ETNs? Can I vote?

富途资讯 · Jul 10, 2020 10:43

对于一个美股新手而言（或者是任何市场的新手），入市后要做的第一件事其实并不是去甄选好标的，而是应该先学如何排雷，先要知道有哪些标的是万万碰不得的。但是许多新手并不是这个思路，他们携巨资杀入这个赌场就是为了赚大钱的，先让我涨跌幅排个序看看今天最牛的几只票。于是，每天每月每年在杠杆ETF上遇害的人不计其数。其实不止是美股市场，国内证券市场也已经出现了类似杠杆ETF的产品。

什么是杠杆ETF和ETN？

ETF（exchange traded funds）大家都熟悉，交易所交易基金，世界大同的理想里中产阶级财富的基石。在理解了ETF这种证券类型之后，似乎杠杆ETF并不是很难理解，有人会说这不就是两倍或者三倍来放大ETF所跟踪指标（benchmark）的损益吗？

恰恰就是错在这里。对于杠杆ETF的一个最为常见误区就是：如果指数今年上涨（或下跌）了10%，那我的三倍杠杆指数ETF就会上涨（或下跌）30%，人生巅峰不是梦。

误不误区的我们之后再来说，我们先给杠杆ETF下一个定义：

杠杆ETF是一种使用衍生品或者债务杠杆来放大对于某个指数正向或者反向追踪投资损益的基金。常见的杠杆比例有1.5X、2X与3X，往往有做多与做空的一对孪生双子。

这里所谓的衍生品，多数情况下是指期货合约 (futures）和掉期合约（swap）；而这里所谓的放大损益，是指按比例放大当日的损益，而不是放大多日损益，更不用说年化损益。

至于ETF的低配版—— ETN （exchange traded notes），则很容易与ETF混为一谈。

ETN本质上是一种无担保的银行高级债券。与一般债券一样，ETN有到期日，并仅仅只有发行银行的信用作为「担保」。

所以此种无本金保护的债券风险极高，如果发行银行挂了破产了，ETN走的是高级债券的破产路子。许多ETN 穿了个马甲就能混入ETF中让人防不胜防，比如很多投资者想抄底石油，石油=OIL，于是他们抄入了OIL 这只票；他们以为OIL是ETF，但其实OIL是ETN。

杠杆ETF的原理是啥？

杠杆ETF的一个重要机理就是每日的重新平衡（rebalance），因为只有重新平衡了，明天才能又是新的一天，我们才可以继续实现每日回报加倍的目标。如果没有重新平衡那就要乱了天。

最简单的，我们不去谈期货或者掉期，举个大家都能懂的用户友好的栗子：

杠杆ETF的Rebalance

问个问题，如果给你资金创建一个杠杆ETF来实现标普500两倍的每日回报表现，最简单的思路是什么？很简单，借钱呗，借个一倍。

比如我这个ETF净值有100块，我想要追踪指数当日两倍的表现，那我就再借100块，把这200块投入SPY，这样我的敞口（exposure）就是200。第二天指数涨了10%，我两倍杠杆的ETF净值就增长了20，达到了120，那如果我仍然保持原来借的100，那我的敞口就变成了220，敞口就不再是净值的两倍。那第三天如果指数再涨10%，我的净值就是142，我当日的净值的回报就是18%，低于了当日指数涨幅的两倍。这样就全乱套了。

所以我必须要 rebalance，在第三天开始前再借个20，把敞口增加到240，来实现我对投资者的承诺。当然实践中 rebalance 都是通过期货或者掉期合约来完成滴，而这种每天一发的实施成本颇为可观，除去税费成本，如果使用期货合约的话基金还会存在contango损耗（decay）。这个我之前的文章中也提到过，就是在期货升水的时候，你滚动合约时总会高买低卖，造成损失。

杠杆ETF的正确使用姿势是啥？

对于一般散户而言，我的建议就俩字：别碰。请叫我菩萨达，我有普度众生之心。

所以之后如果再有人或有机构忽悠你「通过杠杆ETF投资布局某某某」——诸如「通过 UWTI 布局原油市场」。这简直就像让你买入鲜奶放在太阳底下来布局十年后会出现的奶荒。十年后倒确实是缺奶了，但你的奶都馊成了黑心奶。

当然啦凡事都可以有例外，如果你是个有一定经验的投资者，有以下几种情况你可能可以考虑拿起这把烫手的屠龙水果刀。

1. 对冲风险。比如明天英国就公投脱欧了，而你的股票仓位很重，作为风险厌恶者你希望对冲一下有可能出现的市场波动。但是仅仅买入SH你又觉得对冲的力度不够，那你可以考虑买入SPXS对冲一两天的市场风险。如果这之后亏了钱，那就权当交了保险费。

2. 如果你夜观天象非常坚定地相信某个市场或者某个交易品种（石油、黄金…）会出现短期持续的单边走势，那你可以买入杠杆ETF来放大你的潜在收益。但我个人认为没有人能够对市场或者石油黄金这样的复杂系统的未来演变达到「坚定地相信」的地步，如果有，十有八九那是错觉。

3. 如果你对某个基金很有研究，能很准确的计算出诸如前文提到的break-even点和各种可能的成本，也就是你能精确地计算出损耗并且为了投资该标的去你愿意承担这个成本，then go for it。

最后的最后再说一遍，对于一般投资者而言，我之于杠杆ETF的建议就俩字：别碰。会有很多人或机构来忽悠你安利你杠杆ETF产品是个发财致富的捷径，别信。哪怕本文你是一拖到底只看到了这两句话，如果你听进去了，我的这篇文章就算没有白写。

For a novice in US stocks (or a novice in any market), the first thing to do after entering the market is not to select good targets, but to learn how to mine, and to know which targets are absolutely untouchable. But many novices do not have this way of thinking. They bring a lot of money into this casino just to make a lot of money. Let me take a look at some of the best tickets today in order of rise and fall. As a result, countless people are killed on leveraged ETF every day, every month and every year. In fact, not only the US stock market, the domestic securities market has also appeared similar leveraged ETF products.

What are leveraged ETF and ETN?

ETF (exchange traded funds)As we all know, exchange-traded funds are the cornerstone of the wealth of the middle class in the ideal of world harmony. After understanding the type of securities such as ETF, it seems that leveraged ETF is not very difficult to understand. Some people will say that this is not double or triple to magnify the profit or loss of the indicators tracked by ETF (benchmark).

That's exactly where it went wrong. One of the most common misunderstandings about leveraged ETF is that if the index rises (or falls) by 10% this year, then my triple leverage index ETF will rise (or fall) 30%, and the peak of life is not a dream.

Let's talk about it later, without misunderstanding, let's first give a definition of leveraged ETF:

Lever ETFA fund that uses derivatives or debt leverage to magnify positive or reverse investment gains and losses for an index. The common leverage ratios are 1.5X, 2X and 3X, and there are often twins who are long and short.

The so-called derivatives here, in most cases, refer to futures contracts (futures) and swaps (swap), while the so-called magnified gains and losses here refer to the proportional magnification of today's gains and losses, rather than most of the daily gains and losses, let alone annualized gains and losses.

As for the low-end version of ETF--ETN (exchange traded notes)Is easily confused with ETF

ETN is essentially an unsecured senior bank bond. Like ordinary bonds, ETN has a maturity date and is only "guaranteed" by the credit of the issuing bank.

So this kind of bond without principal protection is extremely risky. If the issuing bank goes bankrupt, ETN will follow the path of senior bond bankruptcy. Many ETN can blend into the ETF with a vest, for example, many investors want to copy the bottom oil, oil = OIL, so they copy the ticket OIL; they think OIL is ETF, but OIL is ETN.

What is the principle of leveraged ETF?

One of the important mechanisms of leveraged ETF is the dailyRebalance (rebalance)Because only by rebalancing can tomorrow be a new day and we can continue to achieve our goal of doubling our daily returns. If there is no rebalancing, it will be a mess.

At its simplest, instead of talking about futures or swaps, let's take a user-friendly chestnut that everyone can understand:

Rebalance of leveraged ETF

Let me ask you a question: what would be the easiest way to create a leveraged ETF to achieve twice the daily return of the S & P 500? It's simple. Borrow money, double it.

For example, my ETF has a net worth of 100 yuan, and I want to track twice the performance of the index on that day, so I will borrow another $100 and put that $200 into SPY, so my exposure is 200. The next day the index rose 10%, and my ETF net worth of double leverage increased by 20 to 120, so if I kept the 100 I had borrowed, my exposure would become 220, and my exposure would no longer be twice my net worth. If the index rises by another 10% on the third day, my net worth will be 142, and the return on my net worth on that day will be 18%, less than twice the increase in the index that day. It's all messed up.

So I have to rebalance, borrow another 20 before the start of the third day, increase my exposure to 240, to fulfill my commitment to investors. Of course, in practice, rebalance is completed through futures or swap contracts, and the implementation cost of one issue a day is quite considerable. Apart from the cost of taxes and fees, if you use futures contracts, the fund will also have contango losses (decay). As I mentioned in my previous article, when futures rise, you always buy high and sell low when you roll over the contract, resulting in losses.

What is the correct posture for leveraged ETF?

For the average retail investor, my advice is just two words: don't touch it. Please call me Bodhisattva. I have the heart of universal living beings.

So if someone or an institution tricks you into "investing in so-and-so through leveraged ETF"-- such as "laying out the crude oil market through UWTI". It's like a milk shortage ten years after you buy fresh milk and put it in the sun. It is true that there is a shortage of milk ten years later, but your milk has turned into black-hearted milk.

Of course, there are exceptions to everything. If you are an experienced investor, there are several situations in which you might consider picking up this hot dragon fruit knife.

1. Hedging risk.For example, the UK will vote to leave the European Union tomorrow, and your stock position is very heavy. As a risk averse, you want to hedge against possible market volatility. But just buy SH and you feel that hedging is not strong enough, then you can consider buying SPXS hedging for a day or two of market risk. If you lose money after that, you will be entitled to pay the insurance premium.

2. If you watch the sky at night and firmly believe in a certain market or trading variety (oil, gold … ) will appearShort-term continuous unilateral trendThen you can buy leveraged ETF to magnify your potential gains. But I personally think that no one can "firmly believe" the future evolution of complex systems such as the market or oil and gold, and if so, nine times out of ten it is an illusion.

3. If you have a lot of research on a fund, you can accurately calculate the break-even points mentioned above and various possible costs, that is, you canAccurately calculate the lossAnd you are willing to bear the cost in order to invest in the target, then go for it.

For the last time, for retail investors, my advice to leveraged ETF is just two words:Don't touch it. There will be a lot of people or institutions to fool you, Amway. Your leveraged ETF product is a shortcut to getting rich. Don't believe it. Even if you only read these two sentences in this article, if you listen to it, my article will not be in vain.

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The above content is for informational or educational purposes only and does not constitute any investment advice related to Futu. Although we strive to ensure the truthfulness, accuracy, and originality of all such content, we cannot guarantee it.

投基指南——杠杆ETF和ETN到底是啥？能不能投？