what we do
Our focus is on the development of proprietary geodesic models that characterize the behavior of leveraged long/short ETFs in pairs trades using first principles of Hamilton-Lagrange-Euler mechanics. Because of tracking errors & daily compounding phenomena, equal weightings of leveraged ETFs in a pairs trade are virtually never 50-50. Daily data & graphics will show subscribers where neutral pair weightings have moved along the path of the pairs geodesic thereby providing multiple market direction & re-balance indicators.
SDS-SSO Model Alert - May 13, 2009
Dear Blogger, yet another way to look at model performance. the attached chart illustrates the EQI SDS-SSO model performance versus a tracking portfolio. the object of the model is to 1) demonstrate the viability of holding SDS & SSO long-term in a delta neutral (not market neutral) arbitrage and 2) demonstrate the viability of exploiting information obtained from the neutral scenario to create an ultra performing portfolio using SDS & SSO in a tandem pairs trade.  the ultra benchmark plot is the back-test results of optimizing the weights and re-balancing of SDS & SSO in a pair according to indicators established by model to obtain a high beta performance. the ultra portfolio plot is the actual performance results tracking a SDS & SSO pair that is contructed to be high beta. the S &P 500 plot tracks the index which SDS & SSO are levered to. the balanced neutral plot is the back-test results of re-weightings SDS & SSO to abtain delata neutral performance according to indicators established by the model to obtain a delta neutral performance. the un-balanced plot is the back-test results of neither balancing SDS & SSO to maintain neutral or high beta performance. nothing is changed from initial conditions while the weights float as a result of slippage and tracking error. | | | | |
Disclaimer
Equity Informatics is a developer and service provider of proprietary financial equity pricing models & trading methods. The company familiarizes subscribers with the basic thesis of our models, provides subscribers with daily neutral pair weightings and methodologies on how to use the data as intended. subscribers shall not share any information obtained from equity informatics with any other party. use of these services are granted only to and intended for the benefit of the subscriber. Equity Informatics does not offer the sale of equities nor do our trading models constitute trading advise. It is incumbent on potential clients to perform due diligence and seek a professional financial adviser to help you determine whether subscribing to the company's services are suitable for your financial situation and level of risk. No guarentees of performance are expressly or implicitly offered nor does Equity Informatics guarantee the accuracy of market information used to provide model data to our client. equity informatics does not assume responsibility for lost principal, lost gains or tax consequences.
Copyright (c) 2009 Equity Informatics, LLC. All Rights Reserved.
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