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 - July 22, 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.
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Today's Commentary
another wavering day for the S&P 500 index. the index closed essentially unchanged down 0.05% for the day. the index has taken a breather over the last two trading days from it's historic 6 or 7 day meteoric rise. momentum upward measured by arc-length traveled along the geodesic has not abated which indicates lag in the model from using 12 day moving averages in rices changes. however acceleration of the geodesic parameters coordinates has leveled off. as stated in yesterday's commentary, there appears to be more room for upward movement in the S&P 500 but margin maybe shrinking faster than anticipated yesterday.
for very conservative hedgers, this is probably a good time to sell SSO or re-balance your portfolio to 50:50 before the re-balance signal is indicated. it is no recommended any longer for conservative users of this pairs trade strategy to re-balance pairs to the neutral weights computed by the model. reason being those weights are changing on a daily basis and can actually make portfolios appear unstable. isn't that's what the neutral weighted data was for? initially that was the conservative hedge strategy prior to the development of the geodesic characterization.
before or after a market direction changes are called, typically the numerator of the fraction grows faster than the denominator. as a result the value of the pair increases as the geodesic coordinates move in the opposite direction along the path. gains are smaller this way, but much more forgiving if the market waffles before taking a decided direction.
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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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