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Originally Posted by FinanceDude
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I think the ER is whacky on that thing because some of the costs of the futures trading activity gets reflected strangely. Remember, if you short a bond you have to pay the coupons.
Its similar to the way expense ratios sometimes look funny on CEFs that are levered: the interest cost of the leverage gets caught up in the expense ratio.
But I should say that I think making this kind of bet is not for the faint of heart, and should probably not be done by the typical investor.