How do ETF's that roll futures actually do it?

Discussion in 'ETFs' started by balaji, Jan 30, 2018.

  1. balaji



    I don't know whether anybody here will know the definitive answer to this. But the question is as follows: ETF's like SVXY have to keep changing the proportion of holdings in the M1 and M2 futures every day. So, they roll over a fixed percentage of their holdings in one future to the other future on a daily basis. But the futures change prices throughout the day. In addition to this fixed quota per day, do these ETF's also have hourly quotas or quotas down to the minute as to how much they have to roll over so that they meet their daily quota?
  2. Good question. No idea!
  3. balaji


  4. Interesting balaji. its funny that it seems that because spxy was not doing its job as good tracking its index now it is better off haha.