저자: 미상 · 외국인
요약 보기
2019.11~2021.12 기간 레버리지 섹터 ETF 3종(반도체 3배 SOXL류, 기술 3배 TECL류, 인터넷 3배 WEBL류)의 배당 포함 일간·월간·장기 수익률과 표준편차(위험), 샤프비율을 비교. 반도체 ETF가 수익률 최고·위험도 최고, 인터넷 ETF가 위험 최저·수익률 최저, 기술 ETF가 위험 대비 효율 최고라고 분석. 과거 기간 결과로 재현성은 보장되지 않는다고 명시.
다듬은 글
Hi everyone, this is 2. Today, I'd like to do a thorough comparison of leveraged sector ETFs. Thank you for watching. This channel provides daily reference information that leads to rational investment decisions based on facts. If you are already investing in these three stocks, or if you are considering investing, I hope you will use this video to check things out.
Even if you do n't know these three people or aren't interested, I'd like to say that I'm a person who has made a living solely from investing, so I think it will be helpful to see how to look at individual masterpieces like these. I think it will be helpful, so please watch until the end if you'd like.
Also, we are always accepting requests, and if we're going to make a video anyway, we want to make one that someone will be interested in, so if you have any requests, please feel free to write them in the comments section. Also, I would be very happy if you would subscribe to the channel so that you don't miss out on this kind of information.
Okay, so let's start by going over the basic data. The stocks we will be comparing this time These three are the ones we will be comparing. First, there is the Conductor sector, which is the Semiconductor sector, and the Able 3x 8 ETF, which moves three times as much as the Semiconductor sector. They are very similar.
Then there is the Able 3x 8 ETF for the Technology sector, called ra tech, and the Able 3x 8 ETF for the Internet sector, called web. We would like to compare these three. By the way, regarding the names, it is troublesome to pronounce them all, so I have made up the names arbitrarily and will not be accurate, so please keep that in mind.
Now we will compare them, but we will focus on these three things: return and disk. First, the time axis for the return. We would like to compare the returns of each over multiple terms: 1 day, 1 month, 3 months, 6 months, 1 year, and 2 years. For the verification period, we would like to compare over the same period, so we will use November 7, 2019, which is the start date of the web fund's operation.
Now, the type of return. However, this time we'll be looking at the return on dividends and civics, and I'd like to use that as our basis. There are two points to note, firstly, as we look at the performance, please be aware that the reproducibility of that performance is not guaranteed. Secondly, the verification period this time is 2019, but if we extend this verification period to 2000 or 1990, the performance we're about to look at might be completely different, so please keep that in mind.
With that in mind, I'd like to start the verification from the UK. Okay, so let's get started with the comparison, but firstly, there's an explanation of the term "wintering," which is not very popular, but it's written in the description box of the YouTube video, so please refer to that as well. Also, for those of you who have watched my videos several times, you should understand, so please press the pause button at the necessary points and carefully look at the numbers.
Just in case it's a first-time viewer. I'd like to explain the current situation. First, let's start with this one. Between November 7, 2019 and December 31, 2021, the number of dividend-inclusive returns per trading day for these three stocks was 541 each. So, the average return for semiconductor ETFs was 0.52%, for tech it was 0.4%, and for web it was 0.3%.
So, among these three stocks, semiconductor had the highest average return, followed by A in the second lowest, and then media in third place. In other words, web had the lowest return among them. Next, let's look at the standard deviation. This standard deviation is called the disk. Well, generally speaking, the range of fluctuation is the size of the 8-leader and auditor.
This shows that, and in this case, the range of fluctuation in the return over one business day is 6.88% for the same case, 5.60% for the coming case, and 5.15% for the web case. In terms of this, in the case of the same case, the return fluctuation was around the average return of 0.52 %, with a range of 6.88% above and below it for the return over one business day.
In the case of tech, the return was around the average return of 0.44%, with a range of 5.60 above and below it for the jump. As for levels, the editor fluctuation was around 0.3%, with a range of 5.15% above and below it for the editor over one business day. That's the meaning. It's a good point, but when it comes to risk, the smaller the better, so among these three stocks, the one with the lowest risk is web, then comes in second with low risk, and the one with the highest risk is so-and-so.
It seems that this is the shape it was in, and looking at the shadows of turn and risk, it's not a shame that this is the most important thing, but this shows the investment efficiency, specifically the efficiency of obtaining returns on disks, and it shows that, the calculation formula itself is a value obtained by dividing the average guitar by the standard deviation, and the higher this number, the more efficient it is to obtain returns on disks, in other words, it's an investment efficiency, and when you look at this, in the case of #ration, the higher the a, the better, so it's listed in descending order, and among these three, the one with the most investment efficiency, that is, the efficiency of obtaining returns on disks, is so-and-so, and the one with the second most investment efficiency is so-and-so.
383 stocks look very similar, and it seems that among these 383 stocks, it has the worst investment efficiency. Anyway, this is an explanation of the feeling, and I have also gone as far as 9 months using the same method, but I would like to explain the 9 months part as well so that you can see the difference.
This is from November 7, 2019 to December 31, 2021, and there were 522 of these 3 stocks that had a 20-day period including dividend returns. So, that is the comparison. Of these, the average return over 20 days, or 1 month, was 9.47%, while the average return over 1 month was 8.03%, and the average return over 1 month was 6.61%.
So, the stock with the highest return is the standard MegaTech, and the third is web, or something like that. As for disk, in this case it is the size of the fluctuation in the return over 20 days. So, when we looked at the results, the one with the lowest risk was Check, the second was Able, and the third, the one with the highest risk was Sople.
That's the general idea. In terms of returns over 24 days, the statue of a law is important, and we are grateful for this. Similarly, this is the average return divided by the disk, but in this case, when we look at it over 20 business days, the one with the best investment efficiency is Check, the second is Sole, and among these, the one with the worst investment efficiency is Web.
That's the general idea. Anyway, this is for one month, and we have gone up to 9th place using the same method. Now, let's take an overview from here, first editor. Looking at this, it seems that the one that comes out next is the candidate of the party, and it has consistently had the highest return from 2 to 2 years.
And 9, the return over 2 years, the sample is 42, so the image is really small, but in the case of Sole, the average return is 300 points. 25 percent means that if you invest 1 million yen exactly, it will become approximately 4 million yen on average after 500 business days. In the case of tech, if you invest 1 million yen, it will become approximately 83.72 million yen on average after 500 business days, that is, after 2 years.
As for rules, 1 million yen became approximately 2.87 million yen after 102 years. So, even though well has the lowest return among these, it has almost tripled in about 2 years, but the exact return is much lower, with an average return of about 4 times. Anyway, for editors, the return was the biggest, and I am grateful for that.
Well, it's roughly like that. The level had a higher return in 1991, but generally, my brother got So, among these, the return is low. Even though it's filled, the actual level is definitely high, but among these three, the one with the lowest relative return was Able, and it seems that was the case.
Next is the size of the risk. We'll compare these, and regarding the risk, it's a bit scattered, but looking at Ito City, the one with the smallest risk is for a single day only, but regarding going from September to August, EdTech is the one with the smallest risk among these three. And regarding my brother, when we look at short days and years, they are very similar, but 91 is for 1 month to 1 year, so among these three, the one with the smallest risk is for a middle-range risk.
In this way, among these three stocks, the one with the highest a disk was almost identical to the other. And the most important thing is the Sharpe ratio, which is the efficiency of obtaining return relative to risk. This is made, well, it's fine, but the auditor itself was the highest, but when you look at the investment efficiency, Hay-Soccer consistently came in first, and A- Tech came in first.
In other words, the reason why Hay-Soccer made a profit was because it took a lot of risk, and when you look at the investment efficiency, Hay-Soccer's return itself was about the same as A- Tech, but when you look at the investment efficiency relative to risk, A-Tech had the best investment efficiency.
In other words, if you could take the same amount of risk as Hay-Soccer, the return you could get is probably higher for A-Tech. So, regarding Eto Bay Blue, it came in 3rd place in winter training, and what that means is that, well, the magnitude of the risk equivalent to the standard deviation was in the middle, but, more than that, it didn't earn the most returns among these three stocks, so in terms of investment efficiency, it seems that Eto Bay Blue is the lowest among them.
Anyway, that's the winter return, risk and Sharpe ratio project, and that's how it is. Thank you for listening. That's how we do it, so if you have any requests or anything, please write them in the comments section. Also, it would be a great encouragement for the future, so if you could like or subscribe to the channel, we would be very happy. Thank you for joining us, and we look forward to seeing you again.
Comments 0