Because of "leakage" you can short both AGQ and ZSL netting almost guaranteed return everytime.
Leakage is going to happen because fees and Contango.
Contango refers to the market condition wherein the price of a forward or futures contract is trading above the expected spot price at contract maturity. Since trading these ETF’s I have never seen Normal Backwardation.
This is an example of 6 month.
Stock... 2/7/2011 price.... Investment.... shares.....sold short 8/4/2011 price..... ....... Return
zsl...... $42.00............ $1,000.00........... 23.81....... $14.08........ $27.92.................. $664.78
AGQ.. $138.00........... $1,000.00............ 7.25........ $197.63...... ($59.63)................. $(432.10)
Total invested:...... $2,000.00 .......................................................$232.67.... 12%