squark62

Leveraged ETF Performance YTD

#1 etfexpert:

1) you've made a lot of incorrect assumptions. first of all the, the data i have initially post on my website is to illustrate results in adverse market conditions. my analysis goes back over 18 months.

2) in this market if you can find a place to be neutral, your way ahead of the game. yes, profits are generated by letting the pair drift at various times. picture a ladder. as long as you know how many steps you've made from ground, you know your not just hanging in the breeze.

3) the subscription service is a data service targeted at individual investors who don't have access to this type of information. i'm an individual investor who figured out how to use this technique and i'm offering to others because nobody else is. are you?

4) the clarus guys are investment advisers which i am not. nor am i a certified financial analyst. so i don't manage other peoples money. that's how i put myself out there and have nothing to hide. plus to benefit from the services at clarus apparently their minimum investment is out of reach for the retail investor.

5) i never claimed i'm the only one to develop such a technique. i figured others have to, but nobody is making their knowledge accessible. i think they're afraid to because they don't have confidence in what their doing anyway.

you can take it or leave it.


On Mar 20 02:31 PM #1 etfexpert wrote:

> squark62, you contradict yourself in the incessant posts you've made
> on this topic and it almost reads like a form response that you copy
> and paste over and over. when you rebalance your positions you might
> be neutral, but by letting your positions drift from thier weightings,
> you are taking a directional bet. you are missing the point of the
> actual phenomenon that's taking place, and ultimately the trade you've
> put on, caused by the degenerative nature of the leverage built into
> these instruments. by shorting the leveraged pair you capitalize
> on the volatility that is otherwise working against you if you were
> long these etf's. The longer you leave the pair unbalanced, the more
> the "math" works in your favor. That's why on the long side you can't
> hold these for any extended period of time. Additionally, you're
> collecting theta in the form of the fund's management fees. And if
> you're doing it right, you should be profitable in either a downward
> or upward trending market, regardless of if there is any mean reversion
> and provided the volatility in the pairs is at a certain threshold.
> The only purpose of rebalancing is to prevent large drawdowns and
> since you aren't rebalancing every day it is wrong for you to say
> that you are market neutral. You are not.
>
> it's almost as if you're trying to intimidate people with your presumed
> sophisticated mathematical application for a profitable trade here.
> First, the trade you've put on is not novel by any stretch of the
> imagination. There are more than a few that are employing a similar
> strategy profitably, myself being one of them. and unless you are
> just paper trading, then you've inevitably run into the issue of
> being able to borrow both sides of each pair in size.
>
> additionally, you've posted that you're going to start a newsletter
> subscription service to your strategy for a nominal fee? your track
> record starts in October of '08. Who's going to buy into such a short
> history? and if this is such a lucrative strategy, shouldn't you
> be trying to attract some real money to manage like the guys at Clarus?
> i'm sure it would be a lot more fruitful than plastering the same
> messages on SA over and over touting the amount of money you are
> making in this trade.
>
> and applying hysteresis to decribe the nonlinear characteristics
> of the returns exhibited by these etfs? you have got to be joking...
>
>

Leveraged ETF Performance YTD

during volatile periods of time, the advantage to my model is the ability to remain neutral through re-balancing. as a result conditions occur when the pair is weighted in favor of market direction and gains are made with no further re-balancing. the re balancing technique is not too different from covered call or put options. the arbitrage is based on moving averages so re-balancing need only occur once or twice a week.

also, the re-weighting model i developed is based on a non-linear optimization involving calculus of variations. the math is very similar to deriving equations of motion of systems of particles. the model involves solving for minimums as in Fermat's law of least change. from there the math offshoots into the nature of geodesics and wave mechanics. sounds too wild to believe? math and results don't lie.

cheers!


On Mar 17 05:06 PM Ron Rowland wrote:

> squark,
> I disagree with your statement that you...
>
> "can keep your hedge on the +side for extended periods of time. i
> keep pointing this out time and time again."
>
> You rebalance your positions every day. Therefore you are changing
> your positions every day. Therefore this is not "long term". What
> you are describing is actually an endless series of one-day trades.
>
>
> Just look at the relative strength of SDS vs SSO, it is not a straight
> line.

Leveraged ETF Performance YTD

the math doesn't have to work against you if you what to hold leveraged ETFs as a hedge for long periods of time. infact, a optimally balanced index pair trade of a 2X long (e.g. SSO) and a 2X short e.g. SSO) can keep your hedge on the +side for extended periods of time. i keep pointing this out time and time again. check out www.equityinformatics.com/ for some background.



On Mar 17 09:32 AM AndrewBaker wrote:

> I hope that with all the comment over time about leveraged ETF, people,
> at least those on this site, do know that they are for day and short
> term trading only because of the way the math works. If you've got
> a long term trend you want to work, buy the 1x tracker for that index,
> sector, commodity, whatever.