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The Top Ten Livermore “Active Issues Index” for Fri Dec/18/2009

December 18, 2009

Livermore Index

6 Comments leave one →
  1. ARM permalink
    December 18, 2009 11:06 am

    David,

    Any good free tools you suggest for tracking a hedged version of the Livermore Index? Right now I have something built out in Excel but it’s not ideal

    • david varadi permalink*
      December 18, 2009 11:09 am

      hi, the best way to hedge it is to short the QQQQ against it, you can use a 1 to 1 ratio, but if you are risk averse the approximate beta neutral ratio is currently 1.2

      cheers
      dv

  2. Albert permalink
    December 18, 2009 2:49 pm

    Hi David,

    Do you advise against buying the PSQ? If yes, why?

    Cheers
    Albert

  3. mike permalink
    December 18, 2009 4:36 pm

    David- have you thought of putting this or any other strategy on Collective2?

Trackbacks

  1. The Top Ten Livermore “Active Issues Index” for Fri Dec/18/2009 | Financial engineering resource center
  2. Performance Update: Livermore Active Issues Index « CSS Analytics

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