Is there any difficulty in getting shares to short with these ETF's?

And I'd add to that: is there any cost? As I recall, even when some stocks are shortable, a select few of them can have a pretty heavy borrow cost. And often the stocks with the heavy "hard to borrow" fees are the leverages ETFs. I think it's precisely because people have found out how to profit by shorting pairs.

An example at IB (http://ibkb.interactivebrokers.com/node/1146) gives a fee of 50% annualized. Now that's just a meaningless sample number, but it's interesting to note that it's roughly equal to the strategy's CAGR. Ah, just found a real (if old) example: FAS had a 24% in 2009 (http://wheredoesallmymoneygo.com/hard-to-borrow-fees/). Not as bad as 50% but it still makes a big - and sure - cut in returns.

The really pesky thing is that this is something we can't backtest. Short screens are already hampered by not knowing what stocks were shortable in the past, and I think the leveraged ETF situation just makes it even harder.

- Jamie