All a bit mind numbing that I haven't fully thought through as of yet - and I haven't got my head around maybe using the Ultra-Short instead of a short of the Ultra-Long either. Hopefully however I might have rekindled your interest in potentially considering Ultra's further.
One idea we did consider on this sort of thing a while back was to pair off a matched set of these against each other and then rebalance them periodically. Thus if the 2x index had been gaining whilst the 2x inverse had been losing, one would then sell from the winning side, buying the losing side at lower cost -essentially performing the AIM idea of selling part of a winning position to buy more of a declining one. Theoretically this would eliminate cash reserve as the two would fund each other. Over enough cycles they would generate profit as they reverse roles with the 2x inverse gaining when the 2x index is losing. I don't think we've seen enough rapidity in the cyclic switching to see if this would really produce significant returns though.
As for your "security" measures - if you get the chance sometime watch Patrick McGoohan's cult TV classic The Prisoner. Filmed in the UK with externals at Portmeirion in Wales it's the story of someone in an important position (the popular belief is that the character is John Drake from Mr. McGoohan's prior successful show Secret Agent aka Danger Man) - anyway, this person resigns his position from some high-powered service seemingly prematurely. Given the cold war thoughts of the time (this was made around 1965) - is this person going to defect - giving away confidential secret data or what? So he finds himself suddenly in a place known only as "The Village" - under constant surveillance and each episode becomes a test of wits between McGoohan's character "Number Six" - no names here - only numbers (presaging George Lucas' THX-1138 and the idea of people being numbers on computers and so on) between preserving his own identity against various attempts by the people running the place to break him down. The last episode, "Fall Out" is arguably one of the most enigmatic conclusions to a television series ever made.
McGoohan manages to cover a lot of ideas and themes in the space of around 17 episodes - granted the FX and such are quite lame by today's standards but if you get the ideas he's speaking to the show still works well over 40 years later. Apparently some high level folk in your country (and ours aren't too far behind) have seen this and taken it to heart!
But then, if you've got nothing to hide, what's the harm in a little surveillance, eh? <grin> Plenty, of course, but that's a missive for another soapbox.
Be seeing you,
AIMster
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