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1 Portfolio 내 레버리지 / 인버스 ETFs 활용방안 현대증권내부직원교육용 2Q 2014

2 Disclosures FOR INTERNAL TRAINING PURPOSE ONLY. This document and performance update information relating to the Securities: (i) is provided to you at your request and is not an indication of Direxion s intention to conduct any business activities outside of Hong Kong; (ii) is not an offering or solicitation for trading or investing in the Securities; and (iii) does not constitute any investment advice or representation from Direxion. Direxion Asia Limited is not conducting an offering or acting as placement agent for the Securities and is not authorized to grant any agency or distribution rights to any third party in relation to the Securities. 本文件及以上證券的業績更新資料 :(i) 乃應閣下的要求提供給閣下, 並不顯示 Direxion 有意在香港以外地方進行任何業務活動 ;(ii) 並非買賣或投資以上證券的要約或請求 ;(iii) 不構成 Direxion 的任何投資建議或陳述 Direxion Asia Limited 並非進行以上證券的招售或擔任其配售代理, 且無權向任何第三方授予關於以上證券的代理權或分銷權 Direxion Asia Limited is licensed by the Securities and Futures Commission of Hong Kong for the Regulated Activities of Dealing in securities and Advising on Securities with CE number BAZ Direxion Asia Limited, all rights reserved. 2

3 Agenda Direxion 회사소개 레버리지 / 인버스 ETF 기초 일일리밸런싱 ( 일일기준 3x의포지션유지 ) 복리효과의시사점 ( 추적오차와는상이 ) 거래상대방포지션관리 미국투자자레버리지 / 인버스 ETFs 활용사례 현재글로벌트레이딩테마? 질의응답 3

4 Direxion 회사소개 4

5 Direxion 회사소개 Experience in 2 nd generation exchange traded products Firm Overview 투자포커스 : 상품군 : 시장방향성에서발생가능한투자기회와지수화된대안투자수익을제공하는데전문역량을보유 유동성이높은장기투자상품들과다음의투자기회를위해제공되는단기매매용상품들을제공 투자포지션을상 하향조정하는데활용되거나시장변동에따라이익실현할수있는포트폴리오구축기회 분산투자를통한투자수익개선기회 설립연도 : 1997 사무실 : New York, Boston, Hong Kong 주요고객군 : 기관투자자, 운용사 - 자문사, 적극적트레이더 5

6 레버리지 / 인버스 ETF 기초 6

7 레버리지 / 인버스 ETF 기초레버리지 / 인버스 ETFs 투자가적합한가? FOR INTERNAL TRAINING PURPOSE ONLY. 약 10% 의투자자들에게만적합할수있음 10% 레버리지 / 인버스 ETFs 는노련한투자자들위해만들어졌음 레버리지사용에따른위험과일일목표레버리지비율유지하는과정에서발생하는복리효과에대한이해하여야함 매일적극적으로투자포트폴리오를점검하고관리할의도를가지고있어야함 레버리지 / 인버스 ETFs 는다음의보수적인투자자들에게적합하지않음 일일목표레버리지비율을유지하는펀드의독특한성질과성과의특성에대해이해가충분하지않은투자자투자포트폴리오를자주점검하지않은장기투자자 7

8 레버리지 / 인버스 ETF 기초레버리지 / 인버스 ETF 의내부구성은? FOR INTERNAL TRAINING PURPOSE ONLY. 레버리지 / 인버스 ETFs 는현금, 주식과파생상품 ( 일반적으로스왑계약혹은선물 ) 으로구성되어있음 이를통해투자자들은특정지수및섹터의투자포지션전액을투자하지않고도포지션구성가능 일반적인레버리지 ETF의구성요소 투자전략 현금 주식 파생상품 일일 3x 레버리지 (Bull) ETF Yes 25%-50% 250%-275% 일일 3x 인버스 (Bear) ETF Yes 0% 300% 8

9 레버리지 / 인버스 ETF 기초레버지리와인버스 ETF 를이해하기위한 3 가지중요사항 1. 일일리밸런싱 ( 일일기준 3x 의포지션을유지하기위함 ) 2. 복리효과의시사점 ( 추적오차와는상이 ) 3. 거래상대방포지션관리 9

10 레버리지 / 인버스 ETF 기초 1. 일일리밸런싱 : 3x 레버리지 (Bull) 펀드 지수 1% 상승시 가상의예 (3x 레버리지 (Bull) 펀드 ) 지수 1% 상승시 $400 $300 $200 $100 $300 $303 $309 지수 1% 상승 ($3 수익 ) 순자산대비 3배의포지션비율유지위해 ($103 x 3) $6 포지션확대 $100 $103 $103 ETF 순자산 포지션 $0 초기 ETF 자산및포지션지수 1% 상승시 ETF 포지션재조정 초기 3x leverage ETF 가 $100 million 의순자산으로시작했다면 3x 의비율을유지하기위해총 $300 million 의포지션을가져야함 지수가 1% 상승한경우 $3 mil 만큼의수익 ($300 x 1%) 으로인해총포지션은 $303 million 이되며, 이시점에서순자산은 $103 million 임. 총포지션은항상순자산의 300% ($103 mil x 300% =$309 mil) 를유지해야함으로추가로 $6mil 의포지션이확대되어야함. 10

11 레버리지 / 인버스 ETF 기초 1. 일일리밸런싱 : 3x 레버리지 (Bull) 펀드 지수 1% 하락시 가상의예 (3x 레버리지 (Bull) 펀드 ) 지수 1% 하락시 $400 $300 $200 $100 $300 $297 $291 지수 1% 하락 ($3 손실 ) 순자산대비 3배의포지션비율유지위해 ( $97 x 3) $6 포지션축소 $100 $97 $97 ETF 순자산 포지션 $0 초기 ETF 자산및포지션지수 1% 하락시 ETF 포지션재조정 초기 3x leverage ETF 가 $100 million 의순자산으로시작했다면 3x 의비율을유지하기위해총 $300 million 의포지션을가져야함 지수가 1% 하락한경우 $3 mil 만큼의손실 ($300 x 1%) 으로인해총포지션은 $297 million 이되며, 이시점에서순자산은 $97 million 임. 총포지션은항상순자산의 300% ($97 mil x 300% =$291mil) 를유지해야함으로추가로 $6mil 의포지션이축소되어야함. 11

12 레버리지 / 인버스 ETF 기초 2. 복리효과의시사점 ( 방향성장세 ) FOR INTERNAL TRAINING PURPOSE ONLY. 시장에방향성이존재하는경우레버리지 / 인버스펀드의장기누적성과가증폭가능 펀드의수익은 지수수익률 x 펀드 Beta 를초과할수있음 $135 $130 $125 가상의예 $ $ $ $ $120 $115 $110 $105 $100 $95 $ $ $ $ $ $ $ $ $ $ $ Fri Mon Tue Wed Thu Fri $ Daily 3X Leverage Fund NAV Index Value with 3X Cumulative return Index Value Index Value Index Daily Return Index Cumulative Return Index Cumulative Return x3 Index Value with 3X Cumulative return 3X Fund Daily Expected Return Daily 3X Leverage Fund NAV Cumulative Fund Return Fri $ $ $ Mon $ % 2.00% 6.00% $ % $ % Tue $ % 4.00% 12.00% $ % $ % Wed $ % 6.00% 18.00% $ % $ % Thu $ % 8.00% 24.00% $ % $ % Fri $ % 10.00% 30.00% $ % $ % 12

13 레버리지 / 인버스 ETF 기초 2. 복리효과의시사점 ( 변동성장세 ) FOR INTERNAL TRAINING PURPOSE ONLY. 시장이방향성없이변동할경우일일리밸런싱영향으로장기누적성과감소가능 펀드수익율이 지수수익률 x 펀드 Beta 에미달가능 $115 Hypothetical Example $110 $ $ $105 $ $ $100 $95 $ $97.00 $91.00 $ $97.00 $91.00 $ $ $96.33 $90 $85 $91.00 $89.03 Daily 3X Leverage Fund NAV Index Value with 3X Cumulative return Index Value Fri Mon Tue Wed Thu Fri Index Value Index Daily Return Index Cumulative Return Index Cumulative Return x3 Index Value with 3X Cumulative return 3X Fund Daily Expected Return Daily 3X Leverage Fund NAV Cumulative Fund Return Fri $ $ $ Mon $ % -3.00% -9.00% $ % $ % Tue $ % 3.00% 9.00% $ % $ % Wed $ % -3.00% -9.00% $ % $ % Thu $ % 3.00% 9.00% $ % $ % Fri $ % 0.00% 0.00% $ % $ % 13

14 레버리지 / 인버스 ETF 기초 3. 거래상대방포지션관리 FOR INTERNAL TRAINING PURPOSE ONLY. 거래상대방포지션은위험인가? Yes 그렇다면어떻게위험을완화시키는가? 지속적인신용평가 거래상대방의분산 제 3 자담보관리 수탁은행내독립계좌 (Segregated Account) 개설보관 일일마진관리 일일기준시가평가를통한 (Mark to Market) 거래상대방위험의효율적관리 14

15 미국투자자 레버리지 / 인버스 ETFs 활용사례 15

16 미국투자자레버리지 / 인버스 ETFs 활용사례 10 가지레버리지 / 인버스투자예시 1. 자본의효율적활용 2. 핵심 / 주변포트폴리오전략 3. 신속한시장포지션구축 4. 파생상품 / 선물의대안상품 5. 포트폴리오헤징 6. 재량적트레이딩 ( 기업실적및, Fed 발표 ) 7. Interim Beta 포트폴리오리밸런싱 8. 채권, 상품, 부동산등의자산군에대한접근 9. 옵션 / 변동성트레이딩 10. 전략적활용 ( 차익거래, 상대가치, 이중매도등 ) 16

미국투자자레버리지 / 인버스 ETFs 활용사례포트폴리오구성과정내레버리지 / 인버스 ETFs 의역할 핵심

Matching) 목적포트구성 주변 (Satellite) 전술적 매일모니터링하는재량적투자 유동성이중요

Income Fixed Income Commodities Commodities Real Estate

17 미국투자자레버리지 / 인버스 ETFs 활용사례포트폴리오구성과정내레버리지 / 인버스 ETFs 의역할 핵심 (Core) 전략적투자 장기투자 일반적으로매수후보유 지수추종형혹은자산부채일치 (Liability Matching) 목적포트구성 주변 (Satellite) 전술적 매일모니터링하는재량적투자 유동성이중요 전체포트폴리오의 market exposure 및변동성조정 Equities Equities Fixed Income Fixed Income Commodities Commodities Real Estate Real Estate Futures Options Warrants Leveraged & Inverse ETFs 17

18 미국투자자레버리지 / 인버스 ETFs 활용사례 ETFs 를통한효율적프론티어의확장 기대수익률 R f Equities Fixed Income Commodities Real Estate Efficient frontier 대안투자전략은전통적인자산군대비독특한위험 / 수익률 profile 을제공하여포트폴리오공분산을감소시키며효율적프론티어를확장 위험 ( 표준편차 ) 18

19 미국투자자레버리지 / 인버스 ETFs 활용사례레버지리 / 인버스 ETF 의핵심사항 1. 레버리지 / 인버스 ETF 는전술적투자상품임. 매수후보유전략에적합한상품이아님 => 반드시일일점검필요 2. 벤치마크의장기누적성과와는상이한수익률을기록할수있음 ( 레버리지 / 인버스 ETFs 는장기동안포지션을재조정하지않도록설계되지않았음 추적오차 (Tracking error) 와는상이 ) 3. 레버리지 / 인버스 ETFs 는합성 ETF 이며, 파생상품을활용, 신용위험 ( 거래상대방위험 ) 이존재 4. 대부분의역외레버리지 / 인버스 ETFs 는미국주식거래소개장시간에거래됨 for now 5. 효율적프론티어를확장하기위해레버리지 / 인버스를포함시키는효과를이해하는전문투자자를위해설계되었음 19

20 현재글로벌트레이딩 테마? 20

21 현재글로벌트레이딩테마? Emerging Market vs. Developed Market equities FOR INTERNAL TRAINING PURPOSE ONLY. Emerging Market Brazil (MSCI Brazil Index) Daily Brazil Bull 3x Shares (BRZU US Equity) Daily Brazil Bear 3x Shares (BRZS US Equity) Russia (Market Vectors Russia Index) Daily Russia Bull 3x Shares (RUSL US Equity) Daily Russia Bear 3x Shares (RUSS US Equity) India (Indus India Index) Daily India Bull 3x Shares (INDL US Equity) China (FTSE China 25 Index) Daily China Bull 3x Shares (YINN US Equity) Daily China Bear 3x Shares (YANG US Equity) Korea (MSCI Korea Index) Daily South Korea Bull 3x Shares (KORU US Equity) Daily South Korea Bear 3x Shares (KORZ US Equity) Latin America (S&P LATAM 40 Index) Daily Latin America Bull 3x Shares (LBJ US Equity) Emerging Market (MSCI EM Index) Daily Emerging Markets Bull 3x Shares (EDC US Equity) Daily Emerging Markets Bear 3x Shares (EDZ US Equity) Developed Market US (S&P 500, Russell 2000, etc) Daily S&P 500 Bull 3x Shares (SPXL US Equity) Daily S&P 500 Bear 3x Shares (SPXS US Equity) Daily Mid Cap Bull 3x Shares (MIDU US Equity) Daily Mid Cap Bear 3x Shares (MIDZ US Equity) Daily Small Cap Bull 3x Shares (TNA US Equity) Daily Small Cap Bear 3x Shares (TZA US Equity) Daily Total Market Bear 1x Shares (TOTS US Equity) Europe (FTSE Europe Index) Daily FTSE Europe Bull 3X Shares (EURL US Equity) Daily FTSE Europe Bear 3X Shares (EURZ US Equity) Japan (MSCI Net Japan USD Index) Daily Japan Bull 3x Shares (JPNL US Equity) Daily Japan Bear 3x Shares (JPNS US Equity) Developed Market (MSCI EAFE Index) Daily Developed Markets Bull 3X Shares (DZK US Equity) Daily Developed Markets Bear 3X Shares (DPK US Equity) 21

22 현재글로벌트레이딩테마? Global interest rates and inflation/deflation FOR INTERNAL TRAINING PURPOSE ONLY. Bonds Barclays Capital US Aggregate Bond Index Daily Total Bond Market Bear 1x Shares (SAGG US Equity) NYSE 20 Year Plus Treasury Bond Index Daily 20+ Year Treasury Bull 3X Shares (TMF US Equity) Daily 20+ Year Treasury Bear 3X Shares (TMV US Equity) Daily 20+ Year Treasury Bear 1x Shares (TYBS US Equity) NYSE 7-10 Year Treasury Bond Index Daily 7-10 Year Treasury Bull 3x Shares (TYD US Equity) Daily 7-10 Year Treasury Bear 3x Shares (TYO US Equity) Daily 7-10 Year Treasury Bear 1x Shares (TYNS US Equity) Gold NYSE Arca Gold Miners Index Daily Gold Miners Bull 3x Shares (NUGT US Equity) Daily Gold Miners Bear 3x Shares (DUST US Equity) Daily Junior Gold Miners Bull 3x Shares (JNUG US Equity) Daily Junior Gold Miners Bear 3x Shares (JDST US Equity) Gold CME Commodity Direxion Daily Gold Bull 3X Shares (GLDL US Equity) Direxion Daily Gold Bear 3X Shares (GLDS US Equity) Real Estate MSCI US REIT Index Daily Real Estate Bull 3x Shares (DRN US Equity) Daily Real Estate Bear 3x Shares (DRV US Equity) 22

23 현재글로벌트레이딩테마? Opportunities in the US economic recovery FOR INTERNAL TRAINING PURPOSE ONLY. Financials Russell 1000 Financial Services Daily Financial Bull 3x Shares (FAS US Equity) Daily Financial Bear 3x Shares (FAZ US Equity) Consumer Russell 1000 Retail Index Daily Retail Bull 3x Shares (RETL US Equity) Technology Technology Select Sector Index Daily Technology Bull 3X Shares (TECL US Equity) Daily Technology Bear 3X Shares (TECS US Equity) PHLX Semiconductor Sector Index Daily Semiconductor Bull 3x Shares (SOXL US Equity) Daily Semiconductor Bear 3x Shares (SOXS US Equity) Health Care The S&P Health Care Select Sector Index Daily Healthcare Bull 3x Shares (CURE US Equity) Basic Materials The S&P Materials Select Sector Index Daily Basic Materials Bull 3x Shares (MATL US Equity) Energy Energy Select Sector Index Daily Energy Bull 3x Shares (ERX US Equity) Daily Energy Bear 3x Shares (ERY US Equity) ISE Revere Natural Gas Index Daily Natural Gas Related Bull 3x Shares (GASL US Equity) Daily Natural Gas Related Bear 3x Shares (GASX US Equity) 23

24 현재글로벌트레이딩테마? Hedge Fund, Small Cap, High Yield, Volatility products Sabrient Multi-Cap Insider/Analyst Quant-Weighted Index All Cap Insider Sentiment Shares (KNOW US Equity) Direxion All Cap Insider Sentiment Shares seeks daily investment results that closely correspond to the total return of the Sabrient Multi-cap Insider/Analyst Quant-weighted Index. NASDAQ-100 Equal Weighted Index NASDAQ-100 Equal Weighted Index Shares (QQQE US Equity) Direxion NASDAQ-100 Equal Weighted Index Shares seeks daily investment results, before fees and expenses, that correspond to the daily performance of the NASDAQ 100 Equal Weighted Index. Zacks MLP Total Return Index Zacks MLP High Income Shares (ZMLP US Equity) Direxion Zacks MLP High Income Shares seeks to track the performance of the Zacks MLP Index. S&P 500 Dynamic Rebalancing Risk Control Index S&P 500 DRRC Index Volatility Response Shares (VSPY US Equity) S&P 500 RC Volatility Response Shares seeks daily investment results, before fees and expenses, that correspond to the performance of the S&P 500 Dynamic Rebalancing Risk Control Index. 24

25 투자자를위한 Direxion 의가치창출 대안투자 ETFs 와뮤추얼펀드의업계선도자 다양한대안투자상품군들을제공하고있으며, 지속적으로혁신적인상품들을제공하고있음 아시아지역내확장 ETFs 트레이닝교육의파트너 25

26 Thank you Direxion Asia Limited Suite Queen s Road, Central HONG KONG Phone: info@direxionfunds.com

27 Questions and answers 감사합니다 27

28 Disclosures FOR INTERNAL TRAINING PURPOSE ONLY. This document (the Documentation ) has been prepared by Direxion Asia Limited (with its affiliates, DAL ) and is directed at Professional Investors (as defined under applicable regulations) only and is not intended for, and should not be used by, persons not Professional Investors. The Documentation contains proprietary information and is confidential to its recipient and, subject to applicable law requiring its disclosure by the recipient, may not without the prior written consent of DAL be reproduced, sold or redistributed, or its contents otherwise disclosed, in whole or part by any recipient to any person other than the recipient's professional advisors. The Documentation may not be distributed in any jurisdiction where it is unlawful to do so. The Documentation is provided for information purposes only and does not constitute an offer to sell (or solicitation of an offer to purchase) the securities mentioned or to participate in any particular trading strategy. Any offering of securities shall only be made through the relevant offering or placement memorandum and/or other offering documentation (collectively Offering Documentation ) which sets forth the terms and conditions of such offering and contains the information needed to evaluate a potential investment into the securities and provides important disclosures regarding, inter alia, risks, fees and expenses. The investments described are not available for purchase or sale in certain jurisdictions. The investments described have not been, and will not be, authorized by the Hong Kong Securities and Futures Commission. The Documentation does not provide or purport to provide investment advice and has been prepared without regard to the particular financial circumstances and investment objectives of each recipient. The securities referred to in the Documentation are not suitable for all investors. Investors should not rely on the Documentation for the purposes of any investment decision, and must make their own investment decisions based on their own financial circumstances and investment objectives, after evaluating each issue or strategy and after consulting their tax, legal or other advisers as they believe necessary. Investment in any securities mentioned herein should not be made without careful reference to the relevant Offering Documentation, and the contents hereof are qualified by reference thereto. In the event of any inconsistency between the Documentation and the Offering Documentation, the latter shall prevail. The information set forth in the Documentation is based on or derived from DAL or sources DAL reasonably believes to be reliable. DAL has not independently examined or verified the information provided herein and no representation is made that it is accurate or complete, or that any returns will be achieved. Past performance is no guarantee of and does not indicate future returns or results. DAL expressly disclaims any liability relating to the Documentation, including any expressed or implied representations or warranties for statements or errors in, or omissions from, the Documentation. Opinions and information are subject to change without notice. Certain assumptions may have been made in the preparation of the Documentation which are not disclosed; changes in these assumptions may have a material impact upon the information identified therein. DAL does not express any opinions or views with respect to any estimates expressed by any financial sources referenced in the Documentation, consensus estimates, or other information that is referenced within the Documentation. Direxion Asia Limited is licensed by the Securities and Futures Commission of Hong Kong for the Regulated Activities of Dealing in securities and Advising on Securities with CE number BAZ Direxion Asia Limited, all rights reserved. 28

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슬라이드 1 CJ 2007 CONTENTS 2006 CJ IR Presentation Overview 4 Non-performing Asset Company Profile Vision & Mission 4 4 - & 4-4 - & 4 - - - - ROE / EPS - - DreamWorks Animation Net Asset Value (NAV) Disclaimer IR