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ProShares UltraShort Oil & Gas Message Board

  • yourdeadmeat69 yourdeadmeat69 Nov 3, 2008 5:27 AM Flag

    DUG and DIG DO NOT NEED to move opposite

    because the free market of betters on oil company etc profits can determine which way they think the energy companies will go and the free market buys and sells this ETF, it is not "CONTROLLED" by PROSHARES.

    All of the rest of that conspiracy bs is just that.

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    • Chuk - you are a complete moron. exponential growth has ABSOLUTELY NOTHING to do with these scams. my exponential chart is mere a presentation feature. here it is in linear form if this helps your pea brain. you have no idea what you're talking about and i do think you're on these board promoting and hyping this crap. no one is touching it as they've now realized it's a complete scam. as for your 'decay' b/s, the only thing that's decayed is the spread between DIG/DUG and investors' investment money.


    • like i said chucky, quit the personal attacks and b/s and explain the chart. after two years the DJUSEN is down and DUG under-performed it! ha ha 200% the inverse of DJSUEN performance and it has lost more than the DJUSEN which is negative! so which is it, incompetence or a scam? if DJUSEN is down 20% after 2-years you'd thing the DUG would be up 40%, but as i just explained it's down 34%. DIG/DUG are complete scams...plain and simple. but you sure to love to argue they're not. we admire a good scam artist. so what, do you specialize 3-card monty on the weekends? let me guess, you're paid by Pro Shares to promote their scam...ok we get it.

    • Bull/Bear pairs of ETFs cannot be forced to produce mathematically perfect results with existing financial instruments. However, even if we could force perfect 2x leverage on DIG and DUG, strange-looking things would happen without the intervention of nefarious perpetrators. In addition, DIG and DUG are designed to lever EACH SINGLE DAY's performance of the underlying index. It is impossible to guarantee that a change of x% in $DJUSEN over a period of weeks or months will produce a CUMULATIVE change of 2x% in DIG and -2x% in DUG, with or without the intervention of vicious manipulators.

      I used Excel to start $DJUSEN at 500 and DIG and DUG both at 50, then simulated the next day's data by adding a small random amount (between +15 and -15) to $DJUSEN and applying perfect leverage of exactly +2 and -2 to DIG and DUG. Here are the first few days' results:

      Randomly Simulated $DJUSEN; 2x-levered DIG&DUG: 500.00 50.00 50.00
      Cumulative % change in DIG&DUG: 0.00% 0.00%Cumulative Leverage by DIG&DUG: N/A N/A

      Day 1: 487.62 47.52 52.48
      -4.95% 4.95%
      Cumulative Leverage by DIG&DUG: 2.00 -2.00

      Day 2: 497.66 49.48 50.32
      -1.04% 0.63%
      Cumulative Leverage by DIG&DUG: 2.22 -1.35

      Day 3: 495.40 49.03 50.77
      -1.94% 1.54%
      Cumulative Leverage by DIG&DUG: 2.11 -1.68

      Day 4: 486.13 47.20 52.67
      -5.61% 5.34%
      Cumulative Leverage by DIG&DUG: 2.02 -1.93

      Day 5: 494.80 48.88 50.79
      -2.24% 1.59%
      Cumulative Leverage by DIG&DUG: 2.15 -1.53

      Day 6:
      499.53 49.82 49.82
      -0.37% -0.36%
      Cumulative Leverage by DIG&DUG: 3.96 3.82

      Just over a week of simulated trading with perfect DAILY leverage of +2 and -2, produced CUMULATIVE leverage far different from +2 and -2.

      Here are other sequences of cumulative leverages obtained with the same method:

      2.04 -1.87
      2.08 -1.74
      -4.10 -20.06

      1.82 -2.50
      3.56 +2.67
      1.73 -2.78
      1.90 -2.25
      0.39 -6.70
      2.26 -1.18
      2.11 -1.64

      2.10 -1.65
      2.38 -0.79
      1.43 -3.61
      1.73 -2.70

      I then downloaded all data for $DJUSEN, DIG, and DUG since inception of DIG and DUG on 31 Jan 2007. Analysis of this data produced the following results for observed daily leverage by DIG and DUG:

      Median: 1.959390772 -1.916064882
      Midpoint: 1.900672327 -1.916250377
      Average: 1.944689534 -4.2163485 (caused by a few extreme values)
      Average of central 95% of data (22 most extreme values excluded from 444 days of data): 1.974286776 -1.848781054

      Thus we are getting leverage reasonably close to what we expect, allowing for expenses and fees.

      As we have seen, even with a few items using forced perfect leverage, some outcomes can vary quite a bit from the intuitive expectation of +2 and -2. This is even more extreme with nearly two years of actual data:

      Measures of variability observed for DIG and DUG:
      Highest: 23.21901789 169.5174173
      Lowest: -31.6500603 -1105.055164
      Standard Deviation: 2.537486351 53.92601868

      I have done similar analysis with other levered ETFs and ETNs, including some from Canadian and German issuers. Results have been similar in all cases.

    • If this theory hold water, then should DUG go to zero if all DUG holders sell all DUG shares. And DUG should skyrocket if many investors put a lot of many in DUG shares. This is not the case.

      Proshares obligation is to double short DUG etf to the DJUSEN. After that, movement of DUG is determinet by movement of DJUSEN not by Proshares.
      DJUSEN is -30% ytd, DUG is -5% ytd, but should be +60% ytd. It means that 65% of the etf's value has been lost since Proshares did not fulfill their obligations.
      Since DUG has Mkt. Cap. aprox. 600 mio USD, there is aprox. 350 mio USD gap in shareholders pockets.
      Since this is quite an amounth of money, I hope, that there is a way for shareholder to recover the amounth from Proshares.

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