elushi escribió: ↑
no es tan lineal la cosa. principalmente porque cambian los holdings como se les da la gana, con lo cual no te serviria mucho saber un numero exacto hoy...
https://www.proshares.com/funds/uco_daily_holdings.html
hace no muchos dias tenia contratos julio y mucho swap, luego roleo a septiembre imagino que para reducir vol., ahora redujo exposicion en septiembre y swaps y paso una parte a diciembre. ademas los contratos largos tienen menos volatilidad con lo cual puede tardar mas en recuperar que el front month
ponele muy a vuelo de pajaro, calculo que los contratos largos sep. nov. y dic. deberian subir un 50% al menos para que el UCO llegue a ese target...
Sí a partir de mañana piensan tener 2/3 sep-20 y 1/3 dic-20, lo explican en esta nota.
https://www.proshares.com/media/documen ... 8638744508
Investments in WTI crude oil futures contracts are subject to position accountability levels and position limits set by the listing exchange for such
contracts – the New York Mercantile Exchange or “NYMEX.” On May 1, 2020 the Funds received notice from the exchange directing the Funds to not
exceed an exchange-designated position accountability level in the September 2020 WTI crude oil futures contracts.
In response to this notice, and to help manage the impact of significant volatility and other market conditions, each Oil Fund intends to transition 1/3 of its portfolio exposure from the September 2020 WTI crude oil futures contract into exposure to the December 2020 WTI crude oil futures contract by
the close of business on Monday, May 4, 2020. At such time, each Fund expects to have approximately 2/3 of its portfolio exposed to the September
2020 WTI crude oil futures contract and approximately 1/3 of its portfolio exposed to the December 2020 crude oil futures contract.
Exposure to the September and December 2020 WTI crude oil futures contract in advance of the benchmark’s May 7th transition period could have a significant negative impact on the ability of each Oil Fund to achieve its investment objective since these contracts currently are not included in the Funds’ benchmark. Similarly, exposure to the December 2020 WTI crude oil futures contract thereafter could also have a negative impact, as this contract is not scheduled to be included in the benchmark until the benchmark’s December roll.
As a result, the performance of each Oil Fund should not be expected to correspond to two times (2x), or two times the inverse (-2x), as applicable, of the daily performance of its benchmark, and each Fund’s performance could differ significantly from its stated investment objective.
In addition, to the extent an Oil Fund has exposure to a longer-dated WTI crude oil futures contract (e.g., September or December 2020 instead of July
2020), the performance of the Fund may be expected to deviate to a greater extent from the “spot” price of WTI crude oil (which the Fund does not seek
to track) than if the Fund had exposure to a shorter-dated futures contract. Crude oil futures contracts (and thus each Oil Fund) typically perform very
differently from the spot price of crude oil. The performance of each Oil Fund therefore will very likely differ in amount, and possibly even direction,
from the performance of the spot price of crude oil.
There can be no guarantee that each Oil Fund will be able to implement the strategies described above or in its Prospectus, will continue to use such
strategies, or that such strategies will be beneficial. The percentage of each Oil Fund’s portfolio invested in futures contracts and other Financial
Instruments will vary from time to time. Recent global developments affecting crude oil markets and the markets for crude oil futures contracts have
dramatically increased volatility and increased the likelihood of investors suffering significant or total loss from crude oil-related investments, including
an investment in an Oil Fund.
Como el emisor hace el cambio después de las 16.00, recién mañana Bloomberg haría la actualización de la tenencia que muestra hoy.
el oil entonces x tiempo el de sep y dic tienen que valer 70 y ahi desde hoy serian un 180% más el x2 de etf..
