原油做多美股ETF的UCO股票淺析

1、.UCO 股 票 淺 析一、振蕩損耗2二、合約滾動損失4三、各種原油ETF和油氣公司ETF性能分析5四、跟蹤標的及移倉方式7UCO股票以Bloomberg WTI Crude Oil Subindex指數為標的，購買近期合約，滾入遠期合約來跟蹤現貨石油價格的方式，源于期貨。期貨是以保證金買入近期合約，隨時可獲利或虧損平倉，到交割日則必須交割成實物或貼水、升水滾入遠期合約的方式。由于有損耗，不適合長期持有，在油價判斷為底部或頂部時買入短期持有，并以振蕩降低持倉成本，以下是它的損耗分析：一、振蕩損耗以下為一年內的性能模擬，平衡市中有損耗，但+2X的性能還能接受。熊市中+2X性能表現較好，低于2倍損

2、耗。牛市中+2X回報少于兩倍，但也能接受。二、合約滾動損失The pattern of higher futures prices for longer expiration futures contracts is often referred to as “contango.” (遠期合約價格高為升水)。Alternatively, the pattern of higher futures prices for shorter expiration futures contracts is referred to as “backwardation.”(近期合約價格高為貼水)。以下為US

3、O一倍杠桿為例說明其損耗，從上表看出，升水對基金有負作用，而貼水有正作用. 升水增加時，與價佫偏離度按比例增加，而貼水則不然。因此，并不建議簡單地買入持有。如果你相信油價已到底部，升水較低或貼水存在的時候，可以買入持有。參考網址：Investing in Energy ETPs: The Effect of Contango & Backwardation/2015/11/18/investing-in-energy-etps-the-effect-of-contango-b?page_all=1三、各種原油ETF和油氣公司ETF性能分析 可

4、見，DBO跟蹤效果最好，但是上升市中由于升水仍顯得不夠理想。The outcome of all this logic is relatively simple. Invest in the cheaper futures contract USO, USL, and DBO when there is a downward sloping futures curve, and use a general energy ETF like XOP, IEO, XLE, or VDE otherwise.綜上分析，XOP應是回報最好的油氣公司ETF。四、跟蹤標的及移倉方式標的網址：Bloomber

5、g WTI Crude Oil Subindex chart, prices and performance - FT.com/research/Markets/Tearsheets/Summary?s=BCOMCL:IOMThe Bloomberg WTI Crude Oil Subindex rolls every other monthto the contract that is two months longer in maturity. As a result, the Bloomberg WTI Crude Oil Subindex wil

6、l reflect 100% of the returns of the “nearby” contract only part of the time and, at other times, will include returns for a longer-term future.If the lead future and next future are different, then the index calculations are based on weightings that shift from the lead future to the next future at the closing prices on the fifth