Profunds index and sector trading

[was Steve]

Hey Warp,
I put together some data as a follow on to our discussion of profunds pricing. now i can speak with facts not my opinion, but my initial thoughts were pretty much in line.

i looked at two differnt lengths of time. the last 11 days and all outlier pairs back to 11/25/03 ( 11 pairs). I say pairs because its pretty common for one big mispricing to be followed by an opposite mispricing the following day.

the mispricing is limited to the 2x ndx bull fund for whatever reason. the 2x ndx bear fund is generally within +/- .02% of -2x the ndx. it would seem that they have two diffeent fund managers and the bull fund guy SUCKS compared to the bear fund guy. heres the poop for the last 11 days.

bear average .005% mean .011% both are almost perfect
bull average .009% mean .102% avg very good, mean sucks

for the 11 pairs of data back to 11/25/03 i didnt look at bear since it was just as good as the last ll days. anything less than .02% of the desired target is very good by my brain.

bull average .005% mean .083% avg for the two consecutive days(pair) is almost perfect, but mean still stinks but not as bad as last 11 days

for the 11 pairs if the data is taken as individual data points for each of the 22 days the pricing performance shows its ugly head.

bull average .005% mean .112% avg is the same as in 11 pairs, but mean the worst of all mispricings. the pairs have the effect of reducing the mispricing somewhat

avg is the sum of all mispricings divided by instances
mean is sum of all mispricings (as positive numbers) divided by instances

today was a very bad pricing on the bull fund as it was down .18% more than it should be theoretically. tomorrow it should come in at least .10% higher than 2x ndx.

in all cases the average mispricing for bull and bear funds is almost perfect with a range of .005 to .009%.

for the mean its a different story. the bear fund is almost perfect and the bull fund sucks the big one with a mispricing range of .083 to .112%.

so if you are holding a bull position for the first and second day the pricing is almost perfect. if you sell on the first mispricing day, you get boned. if you just buy and hold for a decent period the mispricing is negligible.