文中黑字部分为原文，蓝字部分为译文，红字部分为译者注释或补充说明

LEVERED ETF LESSON

by Kevin Muir

Sometimes, after highlighting a futures market trade opportunity, I get an email from a reader asking if they can put that trade on using levered ETFs. My answer is always the same - levered ETFs are fine for short-term trading, but you never want to hold them for a long period of time!

时常，在我提示大家注意期货市场上的某个交易机会后，读者会发邮件询问是否可以在交易中使用带杠杆的交易所交易基金。我的回答总是一致的，杠杆化的交易所交易基金对于短期交易来讲尚可一试，但绝对不能长期用下去！

Levered ETFs often get a bad rap. They shouldn't. They do what they were designed to do remarkably well. The real confusion lies in investors' understanding of how the leverage is achieved.

杠杆化交易所交易基金的名声通常很差，按说本不该如此，此类基金在本职工作方面表现得相当不错，真正令投资者感到困惑的地方是其杠杆原理是如何发挥作用的。

Let's go through an example of a typical margin or futures account trade to understand how "traditional" leverage is accomplished and then compare it to the methodology used in a levered ETF.

下面通过一个保证金交易或期货账户交易的典型案例来搞清楚“传统型”的杠杆交易是如何完成的，之后再与杠杆化的交易所交易基金的作用机理进行比较。

For a "traditional" leveraged trade, an investor buys a security at a price of $100 and puts up $35 of margin with the broker lending the balance of $65. We will use a 35% margin rate for this example, but that can differ depending on the instrument. The investor must maintain an "equity" value of 35% the value of the security at all times. If the security rises in value, the investor can actually withdraw the extra amount. However, if the security's price falls, the investor must meet the margin call or the position will be liquidated. Pretty simple.

先说“传统型”的杠杆交易，假设投资者用35美元的保证金买了一只报价为100美元的证券，等于从经纪商处借了65美元。在这个例子中保证金的比率是35%，但金融工具不同保证金的比率也会变化。投资者必须将保证金与证券市值的比率总是保持在3.5%。如果证券的市值上涨，投资者可以动用维持保证金比率后多余的部分。但如果证券的市值下跌，投资者必须补缴保证金否则经纪商将强行平仓。原理很简单。

On the other hand, let's examine a levered ETF. For this example we will use a three times ETF in which the underlying assets of ETF trust are $100 million. The ETF administrator must then borrow $200 million in some fashion to allow the investor to achieve a 3 times return. So far, it's similar to the "traditional" margin buying in the previous example. But what happens if the price of the asset falls? If all of a sudden the $300 million portfolio loses $60 million, there would only be $40 million of equity versus $240 million of assets. The ETF cannot issue a "margin call" on its holders, so have to find some way to protect themselves.

另一方面，再来看一下杠杆化交易所交易基金的例子。假设一只交易所交易基金的杠杆比率为三倍，资产规模为1亿美元。该基金的管理人必须以某种方式借入2亿美元，这样才能保证投资者能获得三倍的收益。在这个地方，杠杆化交易所交易基金与前面例子中的“传统型”保证金交易很相似。但如果基金资产的价格下跌后会怎样？如果这只基金的3亿美元仓位突然间损失掉6000万美元，那么该基金的净资产将只剩下4000万美元，而持仓的市值将缩水至2.4亿美元。杠杆化交易所交易基金是不能向投资者要求补缴保证金的，因此不得不另寻他途以保护本金的安全。

But how do they do that? A slight change in language of the type of leverage offered by the ETF makes all the difference in the world. Look closely at what the ETF says when it comes to the payoff profile of the leveraged ETF. Here are the specifics of the NUGT and DUST 3X bull and bear Daily Gold Miners leveraged ETFs:

这只基金的管理者会怎么做呢？一只交易所交易基金的杠杆率水平哪怕发生一丁点的变化都会让结果变得大为不同。注意看一只杠杆化交易所交易基金在谈到损益形态的时候是如何描述的。以下是NUGT和DUST这两只杠杆化交易所交易基金（NUGT是三倍做多黄金生产商的股票，DUST是三倍做空黄金生产商的股票）的详细描述部分：

Look closely at the first line of the second paragraph:

仔细看说明书第二段的第一行：

"These leveraged ETFs seek a return that is 300% or -300% of the return of their benchmark for a single day."

这些杠杆化交易所交易基金试图获得其所跟踪的标的股票单日波幅的300%或-300% 的损益。

In our previously discussed traditional levered case, if an investor meets margin calls, then a 3 times return (minus borrow costs) is assured regardless of the time period.

在前面讨论的传统型保证金交易的例子里，如果投资者能在任何情况下均维持保证金的比率不变，那么其所获得收益一定相当于本金的三倍，不管交易期限是多长。

However, the levered ETF is not offering that payoff profile. The levered ETF's return will be a series of 3 times returns for each day. I know that doesn't sound that different, but it's night and day.

但是，杠杆化交易所交易基金的损益状况可就是另外一回事了。杠杆化交易所交易基金的损益将是所跟踪股票的每一个交易日的价格波幅的三倍，我知道乍听上去好像没啥大不了的，但其中的区别可大了去了。

To best illustrate this difference, let's engage in a mental exercise of pretending we are the ETF administrator in charge of offering this 3 times daily return. Bear with me as we do a little math. At the end of this process, I think it will be more clear what is happening with the levered ETF.

为了讲清楚这里边的区别，咱们先来个智力测验，假设我们是这只交易所交易基金的管理人，只能是保证让基金的损益相当于股票单日价格波幅的三倍。请稍安勿躁，因为咱们得做点数学计算。在整个计算过程结束后，我认为大家将会搞清楚杠杆化交易所交易基金的损益原理是什么。

Let's use our original ETF example of $100 million of equity controlling $300 million of assets. Sometimes the best way to understand something is to use dramatic price changes and walk through what happens.

再回到前面的例子，那只交易所交易基金的净资产为1亿美元，而持仓的市值等于3亿美元。有时候搞清楚一件事的最好方式就是举个价格极端波动的例子，然后看看会发生什么。

If the underlying asset price moves up 20% in a single day, the total value of the assets is now $360 million. Assuming the ETF starts at a price of $100 per share, it's now worth $160 ($360 MM - $200 MM borrowed = $160 MM).

如果该基金跟踪的股票的价格单日上涨了20%，基金持仓的最新市值将是3.6亿美元。假设单位基金份额的报价原为100美元，那么基金净资产=3.6亿美元的最新市值-2亿美元借来的钱=1.6亿美元，基金的份额=1亿美元/100美元=100万，单位基金份额的最新报价=1.6亿美元/100万=160美元。

However, what happens if it moves up another 20% the next day?

但是，如果第二天股价又涨了20%会怎样？

If the ETF administrator makes no changes, then the $360 million of assets rises to $432 million. That means the ETF is worth $232 ($432 MM - $200 MM borrowed = $232 MM).

如果这只交易所交易基金的管理人没有调仓的话，那么基金的持仓市值将升至4.32亿美元，这就意味着基金的净资产=4.32亿美元的市值-2亿美元借来的钱=2.32亿美元。

But let's remember back to what the ETF was promising. It's supposed to be 20% of the daily return each day.

但请回想一下这只基金的发行说明书是咋说的，假设每天的股票涨幅都是20%。

In our example, if you bought it at the end of the first day ($160 close) and sold it at the end of the second ($232 close), would you achieve this 20% x 3 daily return?

在这个例子里，如果投资者是在第一天收盘的时候买的基金份额，单价为160美元，在第二天收盘的时候卖掉基金份额，价格为232美元，那么投资收益等于20%的日涨幅的三倍吗？

[ $232 - $160 ] / $160 = 45%

算了一下，是45%！

Whoa!

哇哦！

That makes no sense, right? Well, I have made the moves unrealistic so that you can see what's going on, but this happens on every single levered ETF.

有点不对劲，对不？嗯，我把股票的波幅设得比正常值要打这样就能看清楚到底会发生了什么，但在任何一只杠杆化交易所交易基金的身上都会发生这种事。

The ETF provider needs to ensure a levered return on the asset for tomorrow's move, not for the original investment. So at the end of each day, they need to readjust.

杠杆化交易所交易基金的管理机构需要确保基金资产在下一个交易日里的回报率符合所承诺的杠杆比率，而不保证初始投资本金的回报率能达到所承诺的杠杆比率。因此在每个交易日的终了，管理机构需要对杠杆比率进行调整。

In our example, the ETF was priced at $160 with $360 million in assets. But to get a three times levered return the next day, the ETF needs to have $160 * 3 = $480 MM in assets.

在我们的这个例子中，第一个交易日过后这只杠杆化交易所交易基金的单位份额的报价为160美元，持仓市值为3.6亿美元，但为了确保下一个交易日的基金资产的回报率达到3倍，需要让该基金的持仓总量=基金的净资产1.6亿美元*3倍杠杆=4.8亿美元。

Therefore the ETF needs to BUY $120 MM of assets on the close of the first day (which it borrows, making total borrowing $200MM + $120MM = $320 MM).

因此该基金需要在第一个交易日收盘后再借1.2亿美元的资金，买入1.2亿美元的资产，因此融入资金的总量=2亿美元原来借的钱+1.2亿美元新借的钱=3.2亿美元。

Now, let's go through the numbers and see what happens from there.

现在，计算一下这些数字，看看会发生什么。

The ETF has $480MM of assets which rise another 20% the next day.

这只杠杆化交易所交易基金的资产总量已经是4.8亿美元了，第三天股价又涨了20%。

After that rally, the numbers are as follows: $480 MM * 1.2 = $576 MM. The price of the ETF would be $576MM - $320MM = $256 MM = 256 per share.

股票上涨过后，基金的持仓市值=4.8亿美元* 1.2 =5.76亿美元，基金的净资产=5.76亿美元-3.2亿美元=2.56亿美元，单位基金份额的价格=2.56亿美元/100万份=256美元。

Let's review; 160 with a 20% rise x 3 = 160 * 1.6 = 256 per share.

这回再算一下就对了：160美元的买入单价*连续3天每天20%的股价涨幅= 160 * 1.6 = 256

So what does this mean? The ETF administrator needs to BUY MORE EXPOSURE EVERY NIGHT AT THE CLOSE WHEN THE ASSET IS UP IN PRICE, and SELL MORE EXPOSURE EVERY NIGHT AT THE CLOSE WHEN THE ASSET IS DOWN!

那么这意味着啥？杠杆化交易所交易基金的管理人须在基金跟踪的标的资产的价格上涨的交易日的临近收盘时买进更多的标的资产，而在标的资产的价格下跌的交易日的临近收盘时卖出更多的标的资产！

Now let's think about that. The ETF buys as it goes higher, and sells when it goes lower. What happens in our example if the asset price falls the next day by 30.55%?

现在好好琢磨一下。标的资产的价格越涨杠杆化交易所交易基金买得越多，标的资产的价格越跌杠杆化交易所交易基金卖得越多，如果标的资产的价格在第二个交易日跌了30.55%会发生啥？

Well, let's just confirm what the underlying asset return would be:

好吧，来确认一下标的资产价格的涨跌会给杠杆化基金带来的影响：

Day 1: 100

Day 2: after 20% rally = 120

Day 3: after another 20% rally = 144

Day 4: after 30.55% sell off = 100

第1天：单位基金份额的价格=100

第2天：股价上涨20%后，单位基金份额的价格=100*（1+20%）=120

第3天：股价又涨了20%，单位基金份额的价格=120*（1+20%）=144

第4天：股价下跌30.55%，单位基金份额的价格=144*（1-30.55%）=100

As far as the ETF, last we checked, it had $576MM of assets with $320MM in borrowing.

到第4天的时候，我们前面算过，该杠杆化交易所交易基金的资产总量=5.76亿美元，而融资总量=3.2亿美元

After a decline of 30.55%

股价下跌30.55%后，

$576 MM - $176MM = $400 MM with $320 MM borrowing = $80 MM = 80 per share.

5.76亿美元*（1-30.55%）=4亿美元，扣除3.2亿美元的融资总量后=4亿美元-3.2亿美元=8000万美元，单位基金份额的价格=8000万美元/100万份=80美元

Wait, we started with $100 and the underlying asset is back to its original price, but we have less than we started.

且慢，最开始的时候单位基金份额的价格可是100美元，同时标的资产的价格回到波动前的水平即100美元，但现在单位基金份额的价格可比初始值少了！

That's because we bought higher and sold lower.

原因是该杠杆化交易所交易基金在股价涨的时候追涨买入，跌的时候杀跌卖出。

Leveraged ETFs do exactly what they were designed to do - provide a constant levered daily return of an asset. However, that payoff return is dramatically different than the traditional interpretation of a leveraged return over an extended period of time.

杠杆化交易所交易基金日常做的就是其原本应该做的事，即确保基金持仓的损益=标的资产每日涨跌幅*杠杆率。但如果持仓期限比较长的话，基金持仓损益的形态就会与以前对杠杆化收益的理解方式大不相同。

I love to day trade levered ETFs. And in rare circumstances, I will hold them for a few days. But I do so understanding my changing exposure based on the math above.

我很喜欢用杠杆化交易所交易基金做日内交易，只在很少的情况下，会持仓数个交易日，但我这么做的基础是我很清楚如以上计算过程中所揭示的持仓风险的变化情况。

However, there is nothing I like better than using this decay to my advantage, by shorting levered ETFs as a way to express a view. But beware - in a trending market, this is a worse position you could have.

但我最喜欢的东西莫过于利用杠杆化交易所交易基金的净值易跌不易涨的特点来谋利，我想通过做空杠杆化交易所交易基金来表达这种观点。但要当心，在趋势非常明确的市场行情中，做空杠杆化交易所交易基金可能会有极大的风险。