原油做多美股ETF的UCO股票浅析

原油做多美股E T F的

U C O股票浅析

The document was finally revised on 2021

UCO 股票浅析

一、振荡损耗..........................................

二、合约滚动损失......................................

三、各种原油ETF和油气公司ETF性能分析 ................

四、跟踪标的及移仓方式................................

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 pattern of higher futures prices for longer expiration

futures contracts is often referred to as “contango.” (远期合约价格高为升水)。Alternatively, the pattern of higher futures prices for shorter expiration futures contracts is referred to as “backwardation.”(近期合约价格高为贴水)。

以下为USO一倍杠杆为例说明其损耗，

从上表看出，升水对基金有负作用，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：Investing in Energy ETPs: The Effect of Contango & Backwardation

三、各种原油ETF和油气公司ETF性能分析

可见，DBO跟踪效果最好，但是上升市中由于升水仍显得不够理想。

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. 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 other 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 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 through ninth business days of each month.

因此，UCO在偶数月的第六个交易日到第十个交易日进行移仓，采用最近的近月合约与隔一个月的合约价格计算而成。