ZIV / UGLD delist

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  • #79090
    Nicolasblidi
    Participant

    https://www.forexlive.com/news/!/credit-suisse-to-delist-its-highly-leveraged-etfs-20200622

    I would get out of those as lots of selling would be expected…

    #79095
    DWoods
    Participant

    I sold both today. I bought UGL with my UGLD holdings and put my ZIV balance into TQQQ (SPXL).

    I think this is a sign that the market will continue to delist more leveraged ETNs and ETFs this year. They dont want the average retail investor outperforming the big money robbing financial firms anymore.

    The March crash made instant millionaires out of some lucky TVIX holders too. The big guys hate that.

    #79096
    ikoskela
    Participant

    Thanks for sharing this.

    #79097
    Alexander Horn
    Keymaster

    We’re currently looking at the different options and going to post a note over the weekend – in advance of the next rebalancing.

    #79098
    StefanM
    Participant

    Thanks Alexander.
    Would you suggest selling out of UGLD positions urgently and leaving proceeds in cash (or another leveraged GLD product)?

    #79099
    ikoskela
    Participant

    I sold this morning and I’m leaving it in cash just because we don’t much time left in the month. Just remember to limit order, not market, if it goes OTC.

    #79100

    There is not really a replacement for the 3x leveraged UGLD. We may switch to a 2x leveraged version of the leveraged UIS strategy using SSO, UGL and UBT. This works well and the ETFs are very liquid.
    The MYRS strategy could be continued using VXZ short positions instead of ZIV and UGL UBT as hedge. This works even a little bit better than with ZIV as VXZ has not these rebalancing losses of inverse ETFs, but shorting ETFs is probably not possible with many trading accounts.
    You can keep your positions until end of the month. We will inform before the rebalancing on how we will continue.
    Regards Frank

    #79104
    Mark Vincent
    Participant

    Hello Frank,

    What is the difference between UGL and UGLD. They are both 3 times leverage but the returns are different? More Blunt why is UGL not a good choice to replace UGLD.

    Regards,
    MV

    Note: Does anyone know why they are closing them?

    #79107

    UGL is only 2x leveraged Gold. UGLD is the only 3x leveraged gold ETF

    #79108
    marcel
    Participant

    Hi Frank, hi Alex,

    it would be great if going forward there would be the option to still replicate the current versions of the Universal Investment Strategy and Max Yield Strategy using futures, e.g. by creating a synthetic UGLD version (that is the daily 3x of GLD) instead of having to follow a workaround using UGL or the like.

    Thank you!
    Marcel

    #79109

    Anyway there is no problem to just buy 1.5x the UGLD dollar amount of UGL to have the same effect. Also you can just buy 3x the amount of forex gold XAUUSD to replace UGLD

    #79120
    Mark Vincent
    Participant

    Thanks Frank I missed that. UGL in most strategies outperforms UGLD. And UGL has outperformed SPXL over the last couple of years. What is the danger in just using UGL? A better question is what is danger in mixing different leverage ratios if the results are better in the backtests and the optimizier looks good?

    #79122

    Note that UGL does send Schedule K-1 forms for taxable accounts, which can add a little time and complexity when filing taxes. That should not apply to IRA and 401k accounts.

    #79126
    mk
    Participant

    As EU citizien I cannot trade the non-UCITS-ETFs a longer time :-(
    Therefore I switched to https://www.wisdomtree.eu/de-de/etps/commodities/wisdomtree-gold-3x-daily-leveraged
    But the liquidity/trading volume is not comparable to the originals.

    #79127

    Don‘t forget that the most liquid with small spreads and low fees is forex gold XAUUSD. Also it is traded nearly 24h/day. Normally it is no problem to buy 3x the UGLD $ amount because of low margin requirements.

    #79128
    Mark Vincent
    Participant

    Hello Frank is there a strategy for mixing different leverage ratios of different asset types? If UGL gives you better results than UGLD then what is the risk of using it? Most of the Strategy’s will give you better results using UGL but since it has less volatility the percent allocated is higher than SPXL or TMF. This could be because Gold has outperformed both SPXL and TMF over the last couple of years. If the return is higher and the optimizer is stable why not use UGL?

    Interested in your thoughts.

    Regards,
    Mark V.

    #79147

    You can mix different leverages. I tried the strategy using UGL instead of UGLD and it works quite good, it is however quite dangerous that you create an unbalanced strategy which profits only from one asset class which performed well during the past 10 years.

    #79167
    StefanM
    Participant

    Hi Frank, in order to swap in UGL for UGLD in our own QT strategies (and thus seek to replicate UGLD’s 3x leverage using a ticker with 2x leverage), would we go into Strategy Manager, pick our strategy and change the ‘Multiplier’ on the UGL ticker to 1.5 (from ‘not defined’)?

    In the Consolidated Allocations, for those strategies so amended, would they then allocate 150% of UGL (instead of 100%) of the chosen/optimised ETF allocation within that strategy (thus providing a work-around for the desired leverage)?

    If my understanding is incorrect, can you please explain how we can replicate in QT leveraged ETFs using unleveraged or different leverage ETFs?

    Thanks

    #79186

    You are right .. you just have to add a factor 1.5. The problem is that QuantTrader will only apply this factor to the ETF prices and not to the investment. So if it tells you to buy 10’000$ of UGL, then you have to buy 15’000$

    #79211
    Richard Thomas
    Participant

    I see that you have generated a new release of QT – 525SJUNE2020 – that contains new versions of MYRS and UISx3 and UISx2. There are several of the portfolios in the Core and Library that used MYRS and UISx3. Are there any modifications that you plan to make to the strategy allocations in these portfolios or should we just do a straight substitute? For example Max drawdown less than 15% has an allocation of 24% to the old MYRS and 27% to UISx3. Should we just keep those % the same for the new strategies?

    #79212
    StefanM
    Participant

    My understanding is that as you have to purchase 3x the amount of GLD to substitute for UGLD in order to equalise the risk with the other leveraged ETFs; in order to achieve that, you might require a significant amount of extra equity investment (i.e. being 100% of your original equity position plus the equity required for 2x extra GLD over and above your pre-existing consolidated allocation of GLD).

    If, for example, you need 50% extra equity, I would then scale back all positions in the indicated consolidated allocation by 100%/150%, to get back to your original equity available. This might mean that you can only earn 100/150 of the strategy results though…

    The above approach might be incorrect; perhaps someone in the LI team can provide further guidance.

    I hope that the consolidated allocation table in QT can be amended at some point to allow for substitution of unleveraged ETFs for leveraged ETFs.

    #79213

    You have to buy 3x the amount but most probably you have a margin account. I checked on my IB account and if I buy for 100’000$ underlying gold then I need about 18’900$ margin doing this with GLD. With UGLD I need about 31’000$ and with XAUUSD (Forex London Gold) only 4’700$. So the 3x leveraged ETFs require even more margin than a 3x bigger GLD position. Best is by far Forex Gold which has very small spreads and trades nearly 24h.
    So the change to 3x GLD should not restrict investors with margin accounts.

    #79214
    StefanM
    Participant

    Thanks Frank; I omitted to mention that my comment was in the context of a retirement fund account at IB.

    I will check whether they will allow holdings on margin for such an account.

    #79267
    brianbarrett56
    Participant

    Does anyone feel strongly in favor or against using a 50% weighting to SVXY over the VXZ allocation? i.e. the strategy recommends -10% VXZ so we would just long SVXY with a 5% weighting and add the balance to cash buffer or SHY. On the surface they have similar long beta risk profiles, obviously SVXY is prone to do what it had done in 2018 as an inherent risk.

    Working with a Roth account and don’t have access to short equities.

    Cheers,
    Brian

    #79306
    Alexander Horn
    Keymaster

    See comments here re SVXY.

    #79316
    Howard
    Participant

    XAUUSD would have been a good option, but it’s not available to the following folks for those who use Interactive Brokers, myself included unfortunately…

    IB Spot Gold and IB Spot Silver trading is available to customers who are not legal residents of the U.S., Canada, Australia, Hong Kong or Japan.

    https://www.interactivebrokers.co.uk/en/index.php?f=41426

    #79363
    StefanM
    Participant

    In response to Frank’s comment about trading with margin at IB, for UK retirement funds held within a tax-exempt wrapper, IB have confirmed that margin trading is not available to such accounts, which is somewhat unfortunate as performance for leveraged QT strategies will be quite a lot lower given the requirement to match the risk of the remaining 3x tickers in the strategies.

    Hopefully, some other issuer will provide 3x GLD…

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