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 - August 5, 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.
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
the S&P 500 index took a breather today & closed down -0.3%, essentially erasing yesterdays gains. the index followed a similar path as yesterday by starting down but rallied back to positive territory util sellers finally brought the index down on light volume.
let's put where we are in perspective. the S&P 500 and it's companion major averages have broken out and are sitting at or near new highs for the year. while the geodesic parameter vector-c has continued to move further away from the apex of it's path, the rate at which it's magnitude and angle are changing have leveled off, more or less moving in a a tight range. think of summer heat waves or winter cold spells. temperatures are at seasonal extremes but highs are not going higher, or lower. each day the temperature starts at the high and ends near the high. yes, it's a hot market but will (or can) it get any hotter is the question. economic data and earnings reports released this week seem to have been met with a lukewarm reception. nothing has sparked major action one way or another to change much, although the S&P 500 is up +1.54% for the week due to one days gains.
since geodesic parameter rates of change have flat lined, i contend any catalyst that has gotten us this far up has run dry. unless payroll reports beat economists estimates, the index may be in a position to rollover.
disclosure: so far this week i have allowed the ratio of my pair to float starting monday with 60:40 biased to SSO. to date, my ratio is 60:40 biased to SSO. so as you can see not much movement this week one way or another. i did add to my position tuesday & today at the running ratio at the time of the purchase. i'm expecting a sell-off tomorrow ahead of fridays payroll report. tomorrow i will gradually adjust the ratio to 50:50 by purchasing shares of SDS to finish the day @ 50:50.
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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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