The fair value concept is not really the same for bear/bboz. All...

The fair value concept is not really the same for bear/bboz. All they are doing is holding cash and selling ASX SPI 200 Index Futures. Their exposure is expected to be approximately 100% on any given day but there is a daily threshold of +/-10% So there may be a small amount of slippage. However typically the bigger impact is that interest on the cash held benefits the investor, so the returns are not a perfect reversal of the market (for bear). Rather, you do slightly better. Spreads are fiarly tight for these products.

While these ETFs do provide protection, of course they are a more dangerous way to do this than just holding cash. You have to time your trades impeccably to be better off.