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 Update - May 13, 2009
Dear Blogger, thank you! again for subscribing to the S&P 500 long/short ETF Model and welcome to new members who just joined and new list subscribers. today's analysis is available for download:
ignore the missing data error message that may pop-up when opening up the file. Excel for Windows looks for metadata that Excel for Mac doesn't generate.
if you ever misplace your login, send me a message using the email you originally provided when subscribing through paypal. visit the blog for an archive of all subscriber updates and alerts. the archive is search-able and comments can be posted by everybody. | | | Today's Commentary
for a complete independent analysis of today's market events, visit briefing.com.
today the S&P 500 index closed down 24.43 pts or 2.69%. the index fell right at the open to about 890 and slowly rolled down hill from there closing at 883.92.
(S&P 500 intraday)
the S&P 500 has put in 3 down days in a row, something it hasn't done since before the index low of 666.79 on March-08 this year. see below.
(S&P 500 daily)
also notice today's close hit the middle bollinger band similar to Apr-20, though the drop occurred on 1 day. in addition, model EOD indicators have not signaled a re-balance or bias change yet but chart changes are starting to be noticeable. therefore, no change in strategy is indicated for either neutral or ultra scenarios at this time. if the markets continue to sell-off, this may change. see below.
(SDS & SSO RSI)
finally, the chart below plots the performance of the ultra scenario versus a spectrum of other scenarios and indexes. this chart will be included in every spreadsheet update as well as future update newsletters.
(ultra scenario vs spectrum)
QAI is ETF that is designed by IQ Hedge to mimic the performance of various hedge funds. i threw this in the mix as another benchmark to compare the ultra scenario against long-term. | | |
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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