저자: 준성 · 한국인
요약 보기
레버리지 ETF(TQQQ, QLD 등)는 횡보장에서 변동성 드래그로 손실이 누적되는 구조이나, 이는 시장 하락·경제위기 등 다른 요인과 분리해 봐야 하며 장기 상승 시 누적 손실을 상회할 수 있다. 닷컴버블 이후 15~21년 백테스트에서 단일 투자 -65~-96%였으나 적립식은 수익 가능성이 언급됨. 변동성 드래그 위험은 과장되어 있다고 주장하며, 2부에서 비용·구조·기회 관점을 다루겠다고 예고.
다듬은 글
Hello, this is Junseong. The title of today's video is quite provocative. When looking at the overall history of the stock market, "moving" is merely a problem that appears in only a very limited period. Of course, considering human lifespan and life cycles, I understand the desire to avoid it. If it moves, the index and stock price end up staying the same, right?
Then it seems like you can't make money. There is something that opponents of leverage always argue: leveraged ETFs "melt" when they move. I think the expression "melt" fits quite well. In reality, leveraged ETFs incur losses when they are not moving. And because it appears gradually rather than suddenly, you only realize it when you come to your senses that it is freezing.
There is a term that describes this: "volatility drag." However, you do not need to be blindly afraid of this. If you watch this video to the end, you will realize that this volatility drag is greatly exaggerated. Leaving the leverage table aside, let me first discuss a fact that applies to all stocks.
Stock prices move compounded. You all know that, right? So, like -2% today and +2% tomorrow, it moves up and down every day. If it fluctuates by 2%, will it move forward? In reality, it cannot move sideways. Even if it is not a leveraged ETF like the Black Sea, you can still see it gradually declining.
This is because, in compound interest calculations, a higher rate of return is required to recover the amount of the decline. To demonstrate this in practice, for the stock price to be happy, it must rise by 2.0408% after a 2% drop to return to the break-even point. If it drops by 4%, it must rise by 4.17%.
The stock price cannot move forward simply because volatility repeats at -2% plus 2 % -2% plus 2%. Furthermore, just because a rise of 2.0408% was needed for a -2% drop does not mean that a rise of 4.0816% is required for double that amount—a -4% drop. In reality, to recover a -4% drop, a rise of 4.1667% is required.
It is not a matter of reorganization. Therefore, losses are large... In recovery, 'b' indicates that the number of days increases, and this fact applies without exception to the 6th Leveraged Taebong PLD ticket. Since these also move based on compound interest, to be happy, you need a greater rise when it falls.
Also, unlike what was mentioned earlier, during the process of consolidating after an rise, you can promote with a slightly smaller drop. If it falls more, it becomes a declining chart, and if it falls less, it becomes a rising chart. Therefore, to be happy, appropriate declines and rises must alternate so that it is neither excessive nor insufficient.
It is precisely because of these factors that losses occur whenever leveraged loans consolidate. Since a win is estimated as two or three times, it is impossible to perfectly match the rise required to recover the previous decline. As I mentioned once before, for example, if a certain price fell by -2%, a rise of +2.0, +4, or + 0.8% is sufficient to cover that today.
However, a PLD tracking two targets followed the QQ and dropped by -4%, but today, regarding the QQ... If it only rises by 6%—twice the current amount of +4.08— this return alone is insufficient to recover the -4% drop through a combination strategy. It needs to yield +4.16 or 7%. Therefore, due to its structure, leveraged ETFs that track a 1:1 return cannot generate returns exceeding two or three times the initial investment in a single day or week.
So, if we compare L2TP in this way, if the index falls and then consolidates, Quality Q shows insufficient gains to recover to its break-even point, resulting in a loss. Conversely, if it rises and then moves sideways, Shell 2 GQ shows a larger decline than is needed to break even, resulting in a loss.
Of course, between the two scenarios of falling followed by moving sideways and rising followed by consolidation, the loss is smaller in the latter case. To summarize, there are rules to compound interest calculation, and while appropriate fluctuations are necessary for success, leveraged ETFs always exhibit inappropriate fluctuations regarding the benchmark index.
It is because you are doubling or tripling your investment. If it rises, you tell the market to stop at just this much to be happy, but it ends up dropping much more. If it falls, it rises slightly less than it should to be happy. That is why losses occur, and these losses are called volatility drag or ball drag.
Losses caused by volatility drag increase and accumulate as the duration of the movement lengthens. Since we assume happiness lasted for about 20 trading days—which can be considered a month—you can see the market fluctuating up and down. While those who invested in 2GB of the School Cry suffered no losses at all, investing in the leveraged ETF Field resulted in a loss of -0.7816%, and if you had invested in 6 ticks, you would have lost -2.328222%.
It is truly a case of being robbed blind. You suffered a loss just by sitting still. But to be precise, it appears that way because you didn't actually sit there for 6 ticks. Anyway, if it continues like this, it looks like all assets will melt away in a long-term sideways market. However, what happens if a characteristic plus 2% rise occurs on the 21st trading day?
Will it work? Even if the index showed a long trajectory during the registration process, if it ultimately trended upward, the "Quil du Kiel" (Quil du Kiel) will generate a profit. In other words, while losses caused by volatility do exist, if gains and profits outweigh the accumulated losses, there is absolutely no problem.
In fact, if we look at the 15 years from the peak of the dot-com bubble—which can be seen as the NASDAQ's worst performance—to its recovery to the previous high, I conducted a test because the quality was lacking at the time. If you had invested lump sum— that is, invested in land—it would definitely have been a loss.
After waiting 15 years, Huairi was -65% and DQ was -96%. However, as I mentioned earlier, what happens if gains and profits outweigh the losses accumulated by the lawyer's volatility? I waited 6 more years on top of the 15-year trajectory. It is 21 years since placing something in a room in 2000. Looking at it this way, the triple investment still failed to recover to -60%, but the double investment eventually yielded a 113% profit.
Furthermore, if you look at all institutions using the dollar-cost averaging method, this leverage tab It can be confirmed that they likely made more profit. However, what we must pay particular attention to is that this period represents almost a worst-case scenario. It is certainly true that the index traded sideways.
But when investing in a "beggar-like" manner—meaning investing with nothing— recording returns of -65% to -96%—it cannot be said that these losses were caused solely by volatility drag. In short, it is exaggerated. I will explain the reason now. This data was tracked over approximately 10, 20, or 30 years, with daily gains of +1% and losses of -0.99.
The scale of the losses is not as large as expected. In particular, if you look at the 30-year trajectory here, although it is said to have moved flat with a break, it was tracked with 7,200 trades. However, the loss incurred during this period was greater than the losses sustained in the 15 years it took to recover the previous high from the peak of the dot-com bubble.
If we do a quick 100 test on this, well, the convertible chart shows a -97% DQ. It has reached -99%. Even during the subprime crisis, it fell by -76% to -91%. It is more hopeful than when Lime was taking advantage of Dacom, but if it hits this twice and moves sideways, it means that in just 15 years, it could suffer greater losses than the volatility drag that spanned 30 years of calm and flat movement.
Oh, by the way, for reference, the dates shown in this table correspond to the highest and lowest points based on the Nasdaq index. I understand that the Quality was -80% this time, but here the Kelly looks at -76%. Please take this into account to some extent, as it is due to the date I set up to backtest the stock with triple leverage.
So, there is further evidence that these losses we are observing were not caused solely by eyebrow drag. In fact, there are two institutions that were happy for almost a year, both for about a year. However, the losses caused by volatility drag differ. In 2018, the US-China trade dispute resulted in losses about 1.5 times greater.
If you look at the charts for the two periods, the course of movement is different. Even if the happy periods are the same This is the cause that created the difference in the magnitude of the losses. Therefore, we can conclude that the losses observed in this market reflect not only pure volatility drag but also losses caused by market declines.
Now, if someone cites the trajectory from the peak of the dot-com bubble shown earlier—a 15-year period—and argues that "rice farming drag" is dangerous and that one's entire account will melt away, they are being deceived by a significantly exaggerated risk. This is because the dot-com bubble is dangerous, rather than volatility drag itself.
Many people show past charts and claim that losses due to volatility drag are this massive, but they fail to separate pure volatility drag from those losses, excluding various economic crises, market downturns, and major negative factors. That is why the risk associated with volatility drag is exaggerated.
They bring up this chart on the left and use examples like "go up 10% one day and 10% the next." If they are explaining the principle, I can agree. I do not deny the existence of volatility drag either. However, it can be seen that they are failing to properly express its danger. Therefore, if leverage For those planning long-term investments in ETFs, it is beneficial to gauge past happiness and verify the extent of losses incurred.
However, the outcome can vary depending on the process by which the market has moved. In short, there is a distinct "pure leverage" and a separate category of potential losses that can occur depending on market conditions. Therefore, if you strip away these bubbles and focus on pure volatility, exaggerated risks will diminish, and you may be able to view things from a slightly different perspective.
I view this from the perspective of cost, structural characteristics, and opportunity, and I will continue discussing this in Part 2. To wrap up and summarize today's content: First, we must acknowledge that leveraged ETFs are structured to incur losses when the benchmark is happy. Second, however, the magnitude of the loss is determined by the market's movement; therefore, it is more exaggerated than we realize.
It is as if market risk is perceived as a problem inherent to the leveraged ETF itself. The market allowed that much because it moved that way; it is being discussed as if the volume was that high simply because the market was happy. The volatility inherent in the leveraged ETF itself... always It means that you are not incurring that much loss.
Third, the losses resulting from the fluctuation in chart 4 are at a level that can be largely managed with sufficient gains and profits. It is not a permanent loss or a permanent blow. So, that concludes today's summary. Thank you so much for watching until the end. no.5 you uh uh oh ah oh oh oh oh oh oh oh oh uh
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