原油做多美股ETF的UCO股票浅析

1、UCO 股 票 浅 析UCO股票以Bloomberg WTI Crude Oil Subindex 指数为标的，购买近期合约, 滚入远期合约来跟踪现货石油价格的方式，源于期货。期货是以保证金买入近期 合约，随时可获利或亏损平仓，到交割日则必须交割成实物或贴水、升水滚入远 期合约的方式。由于有损耗，不适合长期持有，在油价判断为底部或顶部时买入 短期持有，并以振荡降低持仓成本，以下是它的损耗分析：一、振荡损耗以下为一年内的性能模拟， 平衡市中有损耗，但 +2X 的性能还能接受。 熊市中 +2X 性能表现较好，低于 2 倍损耗。 牛市中 +2X 回报少于两倍，但也能接受。二、合约滚动损失The pa

2、ttern of higher futures prices for Ion ger expirati on futurescon tracts is ofte n referred to as “ contan go. ” （远期合约价格高为升水）。Alter natively, the pattern of higher futures prices for shorter expirati on futures con tracts is referred to as“ backwardati on. ”（近期合约价格高为贴水）。以下为US&倍杠杆为例说明其损耗，从上表看出，升水

3、对基金有负作用，而贴水有正作用.升水增加时，与价佫偏离度按比例增加， 而贴水则不然。因此，并不建议简单地买入持有。如果你相信油价已到底部，升水较低或贴水存在的时候，可 以买入持有。参考网址：Inv est ing in En ergy ETPs: The Effect of Contango & Backwardatio n三、各种原油ETF和油气公司ETF性能分析可见，DBO艮踪效果最好，但是上升市中由于升水仍显得不够理想。outcome of all this logic is relatively simple. I nvest in the cheaper futures co

4、n tract USO, USL, and DBO whe n there is a dow nward slop ing futures curve, and use a general energy ETF like XOP , IEO, XLE, or VDE otherwise.综上分析，XOP应是回报最好的油气公司 ETF四、跟踪标的及移仓方式标的网址：Bloomberg WTI Crude Oil Subindex chart, prices and performance -The Bloomberg WTI Crude Oil Subindex rolls every othe

5、r month to the contract that is two months longer in maturity. As a result, the Bloomberg WTI Crude Oil Subindex will reflect 100% of the returns of the“ nearby ” contract only part of the timother 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 through ninth