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I am curious as to why you would bother to hedge a ES
position. Why not simply exit and get back in when you would remove the
hedge?
The ES has lower bid/ask spreads and commissions than the ETF's
also.
In any case, either should be similar since they probably are developed
using futures.
The portfolio (cyan curve) of Long ES hedged by a long position in the
UltraShort S&P ETF (SDS) is shown the "RealTraders.04"
picture attached. The optimum spread ratio varied slightly from the ideal
.66666/.33333 weighting as you can see on the lower subgraph
(magenta).
The portfolio (cyan curve) of Long ES hedged by a long position in the
Ultra S&P ETF (SSO) is shown the "RealTraders.05" picture
attached. Again, the optimum spread ratio varied slightly from the ideal
.66666/.33333 weighting as you can see on the lower subgraph
(magenta).
Bob Fulks
At 09:05 AM 2/4/2009, you wrote:
I would like to hedge
my future positions using ETFs/Trakkers. Trade the ES (SP mini only), and
would appreciate some suggestions of which to use.. 2x or 3x, specific
symbols with good volume for Long and Short. Is it better to enter a
position using the symbol chart or the futures chart?
From what little
I understand some do not track accurately..so would prefer advice to
finding out the hard way:)0
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Attachment:
RealTraders.04.png
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Attachment:
RealTraders.05.png
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