see here (also in my wxc blog)

来源: njrookie 于 2014-11-04 21:31:24 [] [博客] [旧帖] [给我悄悄话] 阅读数 : 0 (283 bytes)
本帖于 2014-11-04 21:49:08 时间, 由普通用户 njrookie 编辑
回答: 大部分人对3倍ETF的认识是肤浅的 由 梦幻2010 于 2014-11-04 18:31:34

time decay is the cost to pay for compounding, ie gamma. the idea is similar to that of gamma scalping in delta neutral option trading. 

the key is to tell (with a model or with a hunch) when mkt is likely to be mean-reverting and when mkt is likely to trend.

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