SPY Quant v 0.01

7/21/2019 SPY Quant v 0.01

http://slidepdf.com/reader/full/spy-quant-v-001 1/87

$QRU \ulot-JenjRrhflfeiety Prlèon Qmtupsho QR@V Q&R =22 MPC($QRU)

Dhrm tjlo 02 dmajloeali, stltestealiiy

senoecealot, trlèon strltmnems wetj sedpim

dltjmdlteali chrduilm

‑ Ghrl Vm``y

Ah-Chuo`mr , plststlt.ahd

7/21/2019 SPY Quant v 0.01


Plfim hc Ahotmots@EQAILEDMV ........................................................................................................................................... =

CMM@FLAG ................................................................................................................................. =

L AGOHÎM@NDMOPQ ............................................................................................................................. 3

EOPVH@]APEHO ....................................................................................................................... 5

QJHVP PMVD PVL@EON EAM FVMLGMV ................................................................................... <1

QJHVP PMVD PVL@EON V ]IMQ .............................................................................................................. <3

EOPVH@]APEHO PH FLAGPMQPEON DMPVEAQ .......................................................................61

EDRHVPLOP DMPVEAQ PH AHOQE@MV EO PJM F LAGPMQPEON ...................................................................... 61

Flagtmst pmrchrdloam suddlry hc fuyeon QRU mvmry `ly lt aihsm lo` mxeteon omxt `ly lt aihsm .. 1<

@LPL QH]VAMQ LO@ @LPL OHVDLIE[LPEHO ..................................................................... 10

@ LPL Q LDRIM ...................................................................................................................................... 1= % RILUQ ................................................................................................................................... 13

0% AVLQJ HO QRU ............................................................................................................................... 13 Prlèon strltmny ruims ................................................................................................................... 13

Mxldpim trl`m ................................................................................................................................ 13

Flagtmst Rmrchrdloam Quddlry ................................................................................................... 13

Jesthreali trl`m `mtleis .................................................................................................................. 1> 0% VLIIU HO QRU ....................................................................... ........................................................ 1:

Prlèon strltmny ruims ................................................................................................................... 1: Mxldpim trl`m ................................................................................................................................ 1:

Flagtmst Rmrchrdloam Quddlry ................................................................................................... 1: Jesthreali trl`m `mtleis .................................................................................................................. 15

DHO@LU 6% @ERQ HO QRU ................................................................................................................... 02 Prlèon strltmny ruims ................................................................................................................... 02

Mxldpim trl`m ................................................................................................................................ 02 Flagtmst pmrchrdloam suddlry .................................................................................................... 02

Jesthreali trl`m `mtleis ................................................................................................................... 0< DHO@LU 6% @ERQ HO QRU ‑ S LVELOP .................................................................................................. 06

Prlèon strltmny ruims ................................................................................................................... 06 Mxldpim trl`m ................................................................................................................................ 06

Flagtmst pmrchrdloam suddlry .................................................................................................... 06 Jesthreali trl`m `mtleis .................................................................................................................. 01

0 @HÔ @LUQ HO QRU LO@ PH@LU EQ CVE@LU ........................................................................................ 00 Prlèon strltmny ruims ................................................................................................................... 00

Mxldpim trl`m ................................................................................................................................ 00 Flagtmst pmrchrdloam suddlry .................................................................................................... 00

Jesthreali trl`m `mtleis .................................................................................................................. 0= 0 @HÔ @LUQ HO QRU LO@ PH@LU EQ CVE@LU - S LVELOP ....................................................................... 03

Prlèon strltmny ruims ................................................................................................................... 03 Mxldpim trl`m ................................................................................................................................ 03

Flagtmst pmrchrdloam suddlry .................................................................................................... 03

Jesthreali trl`m `mtleis .................................................................................................................. 0> 1 @LU VLIIU HO QRU LO@ PH@LU EQ CVE@LU .......................................................................................... 0:

7/21/2019 SPY Quant v 0.01


Prlèon strltmny ruims....................................................................................................................0: Mxldpim trl`m ................................................................................................................................0:

Flagtmst pmrchrdloam suddlry ....................................................................................................0: Jesthreali trl`m mtleis ..................................................................................................................05

DHO@LU <% @ERQ @]VEON IHON PMVD ]RPVMO@ HO QRU .............................................. ........................ =2

Prlèon strltmny ruims.................................................................................................................... =2 Mxldpim trl`m ................................................................................................................................ =2 Flagtmst pmrchrdloam suddlry .................................................................................................... =2

Jesthreali trl`m `mtleis ................................................................................................................... =< F LAG PH FLAG <% @VHRQ HO QRU HO DHO@LU ..................................................................................... =6

Prlèon strltmny ruims.................................................................................................................... =6 Mxldpim trl`m ................................................................................................................................ =6

Flagtmst pmrchrdloam suddlry .................................................................................................... =6

Jesthreali trl`m mtleis .................................................................................................................. =1

DHO@LU 6% @ERQ @]VEON QJHVP PMVD @HÔPVMO@ HO QRU .............................................................. =0 Prlèon strltmny ruims.................................................................................................................... =0

Mxldpim trl`m ................................................................................................................................ =0 Flagtmst pmrchrdloam suddlry .................................................................................................... =0

Jesthreali trl`m `mtleis .................................................................................................................. == DHO@LU 6% VLIIEMQ @]VEON QJHVP PMVD ]RPVMO@ HO QRU ............................................................... =3

Prlèon strltmny ruims.................................................................................................................... =3 Mxldpim trl`m ................................................................................................................................ =3

Flagtmst pmrchrdloam suddlry .................................................................................................... =3 Jesthreali trl`m `mtleis .................................................................................................................. =>

H SMVOENJP M@NM ^JMO QRU NLEOQ DHVM PJLO ^JLP EP JL@ IHQP @]VEON RVMSEH]Q @LU .................. =: Prlèon strltmny ruims.................................................................................................................... =:

Mxldpim trl`m ................................................................................................................................ =: Flagtmst pmrchrdloam suddlry .................................................................................................... =5

Jesthreali trl`m mtleis ................................................................................................................. 32 1% EOPVL@LU FVMLGH]PQ HO DHO@LUQ LO@ P]MQ@LU ........................................................................ 3<

Prlèon strltmny ruims.................................................................................................................... 3< Mxldpim trl`m ................................................................................................................................ 3<

Flagtmst pmrchrdloam suddlry .................................................................................................... 3< Jesthreali trl`m `mtleis .................................................................................................................. 36

NLR RILUQ ................................................................................................................................31

DHO@LU ]OCEIIM@ C]II N LR @HÔQ................................................................................................ 30

Prlèon strltmny ruims....................................................................................................................30 Mxldpim trl`m ................................................................................................................................30

Flagtmst pmrchrdloam suddlry ....................................................................................................30 Jesthreali trl`m `mtleis .................................................................................................................. 3=

P]MQ@LU 2.=% ]OCEIIM@ N LR ]RQ...................................................................................................... 33 Prlèon strltmny ruims................................................................................................................... 33

Mxldpim trl`m ............................................................................................................................... 33 Flagtmst pmrchrdloam suddlry ................................................................................................... 33

Jesthreali trl`m `mtleis .................................................................................................................. 3> DHSEON HOPH EOPVL@LU PVL@EON QPVLPMNEMQ; <% C]II NLR @HÔ HRMOEONQ ................................... 3:

Prlèon strltmny ruims................................................................................................................... 3:

Mxldpim trl`m ............................................................................................................................... 3:

7/21/2019 SPY Quant v 0.01


Flagtmst pmrchrdloam suddlry .................................................................................................... 3: Jesthreali trl`m `mtleis .................................................................................................................. 35

<% N LR LO@ NH HO P]MQ@LUQ ............................................................................................................. >2 Prlèon strltmny ruims ................................................................................................................... >2

Mxldpim trl`m ................................................................................................................................ >2

Flagtmst pmrchrdloam suddlry .................................................................................................... >2 Jesthreali trl`m `mtleis ................................................................................................................... ><

<% C]II NLR ]R HRMOEON, CL@M@ FU HPJMVQ ........................................................................................ >6

Prlèon strltmny ruims ................................................................................................................... >6 Mxldpim trl`m ................................................................................................................................ >6

Flagtmst pmrchrdloam suddlry .................................................................................................... >6 Jesthreali trl`m `mtleis .................................................................................................................. >1

O LVVH^ LO@ ^ E@M V LONM F LVQ ........................................................................................................ >0

QMLQHOLIEPU ...........................................................................................................................>=

L Q QMRPMDFMV NHMQ….......................................................................................................................... >=

CMFV]LVU MCCMAP ................................................................................................................................ >=

QLUHOLVL ............................................................................................................................... >3

V LEQEON C]O@Q CHV FVENJPMV C]P]VMQ ................................................................................................ >3

NIHQQLVU.................................................................................................................................>>

7/21/2019 SPY Quant v 0.01


Ahpyrenjt Bplststlt

LII VENJPQ VMQMVSM@. Oh plrt hc tjes pufiealteho dly fm rmprhùam`, sthrm` eo l

rmtremvli systmd, hr trlosdettm`, eo loy chrd hr fy loy dmlos, mimatrhoea, dmajloeali,

pjhthahpyeon, rmahrèon, hr htjmrwesm, wetjhut tjm prehr wrettmo pmrdesseho hc tjm

plststlt stlcc.

Pjes pufiealteho es `msenom` th prhve`m laaurltm lo` lutjhretltevm eochrdlteho eo rmnlr` th

tjm sufkmat dlttmr ahvmrm`. Et es shi` wetj tjm uo`mrstloèon tjlt tjm lutjhr lo` tjm

pufiesjmr lrm oht monlnm` eo rmo`mreon imnli, laahuoteon, hr htjmr prhcmsseholi smrveam.

Lutjhrezlteho th pjhthahpy etmds chr eotmroli hr pmrsholi usm, hr eo tjm eotmroli hr

pmrsholi usm hc spmaecea aiemots, es nrlotm` fy plststlt stlcc, prhve`m` tjlt tjm ].Q $<=.22 pmr

plnm cmm es ple` èrmatiy th plststlt fy wreteon lo mdlei th plststltBndlei.ahd

@esailedmrEt sjhui` oht fm lssudm` tjlt tjm dmtjh`s, tmajoequms, hr eoèalthrs prmsmotm` eo tjes

fhhg weii fm prhcetlfim hr tjlt tjmy weii oht rmsuit eo ihssms. Rlst rmsuits lrm oht omamsslreiy

eoèaltevm hc cuturm rmsuits. Mxldpims eo tjes fhhg lrm chr mùalteholi purphsms hoiy. Pjm

lutjhr, pufiesjeon cerd, lo` loy lcceieltms lssudm oh rmsphosefeiety chr yhur trlèon

rmsuits. Pjes es oht l shieaetlteho hc loy hr`mr th fuy hr smii.

Pjm OCL rmquerms us th stltm tjlt ’JURHPJMPEALI HV QED]ILPM@ RMVCHVDLOAM

VMQ]IPQ JLSM AMVPLEO EOJMVMOP IEDEPLPEHOQ. ]OIEGM LO LAP]LI

RMVCHVDLOAM VMAHV@, QED]ILPM@ VMQ]IPQ @H OHP VMRVMQMOP LAP]LI

PVL@EON. LIQH, QEOAM PJM PVL@MQ JLSM OHP LAP]LIIU FMMO MZMA]PM@, PJMVMQ]IPQ DLU JLSM ]O@MV- HV HSMVAHDRMOQLPM@ CHV PJM EDRLAP, EC LOU,

HC AMVPLEO DLVGMP CLAPHVQ, Q]AJ LQ ILAG HC IE\]E@EPU. QED]ILPM@

PVL@EON RVHNVLDQ EO NMOMVLI LVM LIQH Q]FKMAP PH PJM CLAP PJLP PJMU

LVM @MQENOM@ ÊPJ PJM FMOMCEP HC JEO@QENJP. OH VMRVMQMOPLPEHO EQ FMEON

DL@M PJLP LOU LAAH]OP ÊII HV EQ IEGMIU PH LAJEMSM RVHCEPQ HV IHQQMQ

QEDEILV PH PJHQM QJHÔ.—

Cmm`flag

Ec yhu jlvm cmm`flag chr us nhh` hr fl`, cmmi crmm th `rhp dm l ieom hr twh B

plststltBndlei.ahd

Hoam lnleo, tjlog yhu chr purajlseon tjes fhhg! E wesj yhu ihl`s hc iuag eo dlrgmts

-Ghrl Vm``y

mailto:[email protected]







7/21/2019 SPY Quant v 0.01


Lagohwim`ndmots

’Mrr, jlvm yhu ahuotm` lo` tmstm` tjlt8—

‑ Seathr Oem`mrjhccmr

^jmo shdmhom sunnmsts l trlèon e`ml, liwlys lsg tjm lfhvm qumsteho. E hwm lo

lpprmaelteho lo` eo`mftmòmss chr tjes tjmdm, e.m. th ahuot lo` tmst th Seathr Oem`mrjhccmr.

Pjm wjhim e`ml hc tjes fhhg es th tmst lo` ahuot mvmry dlrgmt jyphtjmses ls E―d l cerd

fmiemvmr tjlt mvmry trlèon e`ml dust fm qulotecem` lo` tmstm` chr ets vmrlaety.

E lish cmmi l `mft hc nrltetu`m th sh dloy prhcmsseholis. E ld tjlogcui chr tjmer dlrvmiihus

whrg eo hccmreon mùalteho chr trl`mrs -- yhu lrm lo lssmt th tjm whri` hc trlèon. Et whui`

fm chhiesj lo` ldess hc dm oht th dmoteho tjlt plrts hc tjes fhhg lrm jmlveiy eociumoam` fy

dlrgmt wezlr`s lo` smicimss tmlajmrs, suaj ls Phfy Arlfim, Ilrry êiields, Kldms Lituajmr

lo` Lo`rmw Nhh`weo.

Qhdm hc tjm trlèon strltmnems prmsmotm` eo tjes fhhg lrm cesjm`, metjmr èrmatiy hr

eoèrmatiy, crhd tjm wmf fihns/VQQ setms tjlt E rmnuilriy veset, suaj ls

-

Frmtt Qtmmoflrnmr―s Prlèon Rsyajhihny www.frmttstmmoflrnmr.ahd

- Crlog―s jttp;//www.trlèontjmh``s.ahd

-

Kmcc Fhlrdlo's jttp;//eflogaheo.ahd/whh`sjm``mrfihn

- Kmcc Qwlosho's jttp;//systmdtrl`mrsuaamss.ahd

-

Deajlmi Qthgms―s jttp;//dlrgmtsae.whr`prmss.ahd

-

H``duo` Nrúttm's jttp;//www.qulotecem`strltmnems.ahd

-

Rlui Jeagmy―s jttp;//www.fmsphgmeovmst.ahd

-

Vmooem Ulon―s jttp;//dlrgmttmiis.ahd

-

Vhf Jlool―s jttp;//qulotecelfimm`nms.fihnspht.ahd

- Vylo @mtreag jttp;//sajlmccmrstrlèoncihhr.ahd

- Qahtt Lo`rmw―s jttp;//www.dlstmrtjmnlp.ahd

-

Pl`ls Sesglotl―s Lfohrdli Vmturos www.LfohrdliVmturos.ahd

-

Prlèon Dlrgmts www.PrlèonDlrgmts.ahd

& VQQ lnnrmnlthrs

-

jttp;//www.tjmwjhimstrmmt.ahd - jttp;//www.wliistrmmtaurrmots.ahd

http://www.brettsteenbarger.com/



http://www.tradingtheodds.com/



http://ibankcoin.com/woodshedderblog



http://systemtradersuccess.com/



http://marketsci.wordpress.com/



http://www.quantifiedstrategies.com/



http://www.bespokeinvest.com/



http://markettells.com/



http://quantifiableedges.blogspot.com/



http://schaefferstradingfloor.com/



http://www.masterthegap.com/



http://www.abnormalreturns.com/



http://www.tradingmarkets.com/



http://www.thewholestreet.com/


http://www.wallstreetcurrents.com/

















7/21/2019 SPY Quant v 0.01


-

jttp;//www.gergrmphrt.ahd

& ceoliiy Qthag Pwets, tjm shaeli omtwhrgeon chr sthags, mspmaeliiy tjhsm jlo`peagm` twmmts

wetj $QP]@U jlsj tln crhd tjm mèthreli stlcc jttp;//sthagtwets.ahd/sydfhi/QP]@U

http://www.kirkreport.com/


http://stocktwits.com/symbol/STUDY





7/21/2019 SPY Quant v 0.01


@mèaltm` th UH]

Pjm fuymr hc tjes fhhg

7/21/2019 SPY Quant v 0.01


Eotrhùateho

Pjm chiihweon tjrmm dhtevms lrm fmjeo` chr wreteon tjes fhhg.

L wmii-gohwo Ajeomsm prhvmrf slys, ’Nevm l dlo l cesj lo` yhu cmm` jed chr l `ly. Pmlaj ldlo th cesj lo` yhu cmm` jed chr l iecmtedm.— Dy nhli es th prhve`m yhu wetj tjm gohwim`nm

lo` l crldmwhrg sh tjlt yhu alo l`` wjlt yhu imlro eo tjes fhhg th wjltmvmr trlèon

lpprhlaj yhu lrm dhst ahdchrtlfim useon. E fmiemvm tjlt lo uo`mrstloèon hc imlroeon tjm

plttmros `msarefm` eo tjes fhhg weii nevm tjm trl`mr l nrmlt m`nm, ls wmii ls rmùam tjm strmss

lreseon crhd l jet lo` dess lpprhlaj flsm` ho eo wetjhut l`mqultm gohwim`nm hc dlrgmt

fmjlvehur. Pjm lfeiety th ihhg lt tjm dlrgmt lo` th jlvm ahoce`moam eo yhur trlèon

`maesehos es whrtj ets wmenjt eo fy nhi`.

Eo iecm mvmryfh`y jls nhlis -- E dust nmt lo mùalteholi `mnrmm, E dust nmt l khf, E dust

dlrry, E dust jlvm ajei`rmo, E dust jlvm l jhusm chr dysmic, lo` sh ho. Qhho tjmsm mo` upls l iest hc =2 hr <22 dust-jlvm, dust-`h tjeons. Hom suaj led hc deom wls es th wretm l

fhhg ho l sufkmat tjlt E ld plsseholtm lfhut, l fhhg ho trlèon. Ilst, fut oht tjm imlst, E

alo―t `moy tjlt tjm phssefeiety hc cldm lo` dhomy crhd l suaamsscui fhhg lrm lttrlatevm ls

wmii.

^jlt yhu weii imlro crhd tjes fhhg

Lii sle` lo` `hom, dlrgmt loliyses es oht shdm ahdpimx rhagmt saemoam7 lii tjlt es omm`m` th

dlgm smosm hc tjm mvhiveon pream `ltl es cleriy sedpim gohwim`nm lo` shdm mxpmremoam. Pjes

fhhg es lfhut pream plttmros lo` tjm hvmrlii fmjlvehur hc tjm dlrgmt. Qhdm hc tjm plttmrosle` yhu eo uo`mrstloèon tjm dlrgmt fmjlvehur lo` weii molfim yhu th smm tjm aurrmot

dlrgmt lateho lo` lssmss, wetj l jenj `mnrmm hc rmielfeiety, wjlt es iegmiy th jlppmo omxt.

Pjes fhhg es oht dmlot th fm l rhl`-th-reajms fhhg hr l oh-resg typm hc fhhg. Uhu sjhui`

fm rml`y th put eo smrehus mcchrt, rmquereon fhtj stu`y lo` ahoamotrlteho. Ls yhu rml`

tjrhunj tjm fhhg lo` stu`y tjm mxldpims lo` mxpiloltehos, yhu weii queagiy rmliezm tjm

trmdmo`hus vlium hc tjm eochrdlteho et ahotleos.

Pjmrm es lo hi` l`lnm wjeaj slys tjlt gohwim`nm alo fm ahdduoealtm` fut wes`hd jls th

fm smic-tlunjt. Jhpmcuiiy, tjes fhhg weii ajlonm tjm wly yhu ihhg lt eovmsteon lo` trlèon,

lo` weii nevm yhu tjm thhis yhu omm` th `mvmihp trlèon systmds tjlt whrg chr yhu.

^jlt yhu weii oht ceo` eo tjes fhhg.

• Oh Nloo, oh èvmrnmoams, oh ajlrt plttmros , oh pmoolots , oh trmo` ieoms , oh

Cefholaae rmtrlamdmots , oh Miiehtt wlvms - ohtjeon tjlt rmiems ho sufkmatevm

ku`nmdmot.

• Oh nulrlotmms hc nrmlt wmlitj eo l sjhrt tedm wetj iettim mcchrt.

• Oh eovmstdmot l`veam. Pjes fhhg es eotmo`m` th fm lo mùalteholi tmxt. Prlèon

strltmnems `msarefm` lrm dmlot th fm mxldpims wjeaj rml`mrs alo mxpmredmot wetj,

mxplo` lo` `mvmihp chr tjmer hwo usm.

• Oh preaeon hc mxhtea `mrevltevms. Pjes es mimdmotlry qulot loliyses.

7/21/2019 SPY Quant v 0.01


• Oh vlnum trlèon strltmny stltmdmots. ^m lrm rmnuilriy crustrltm` fy l`vmrteseon hr

klagmt ahpy tjlt tmiis l fhhg mxpileos 6= prhcetlfim trlèon systmds eo ahdpimtm

`mtlei, hoiy th ceo` l cmw jlo` `rlwo ajlrts, lo` eoahdpimtm smt hc vlnum motry

ruims lo` oh pmrchrdloam suddlry. Et es hur seoamrm jhpm tjlt ohom hc yhu cmmis

tjes fhhg cliis eoth tjlt altmnhry

Jhw th usm tjes fhhg

Pjes fhhg weii eddmèltmiy fmomcet tjm trlèon motjuselsts. Gmmp hfsmrveon tjm dlrgmt

mvmry `ly ùreon lo` lctmr stu`yeon tjm fhhg, lo` yhu denjt ceo` crmsj mxldpims hc tjm

trlèon plttmros ahvmrm` eo tjes fhhg eo tjm honheon dlrgmt lateho. Pjm fmst rmsuits weii

ahdm wjmo tjm rml`mr prlateams tjmsm plttmros tjrhunj latuli trl`m mxmauteho. Mxpmredmot

wetj tjm omw ahoampts lo` l`` tjmd sihwiy eoth yhur trlèon strltmny. Pjmy weii hpmo up

omw tlateas lo` fuei` ahoce`moam fmchrm cereon l trl`m. êtj dhrm prlateam yhu weii fm lfim

th ceo` shdm l`èteholi plttmros ls wmii7 tjm plttmros lrm tjmrm, kust wleteon th fm

uoahvmrm`.

Eo hr`mr chr yhu th nmt tjm dhst hut hc trlèon tjmsm smtups, l cmw pheots omm` th fm

ahvmrm`;

•

Et es edphrtlot th eoeteliiy trl`m l omw ahoampt hr strltmny ho plpmr. Hoiy fy smmeon

l plttmro hvmr lo` hvmr lnleo weii yhu truiy cmmi ahdchrtlfim wetj et. Uhu dust

fmiemvm eo ets lfeiety th rmpmlt etsmic. @ho't fm surpresm` ec yhu ceo` yhursmic latuliiy

fmahdeon mxaetm` ls yhu smm tjm plttmros fmneo th smt up.

• Ec l plttmro `hms oht dlgm smosm th yhu, `ho't trl`m et. Ec yhu `ho't jlvm l <22

pmramot fmiemc eo et, yhu weii oht fm lfim th hvmrahdm ihseon strmlgs.• Lii yhu omm` es hom hr twh trlèon plttmros th dlgm l ieveon! Imlro cerst th

spmaeliezm eo `heon hom tjeon wmii.

Pjm dlrgmts alo hoiy fm mxpihetm` wjmo tjmrm lrm eomcceaemoaems. Pjlt sle`, tjmrm lrm l

iht hc sdlrt pmhpim tryeon th ceo` tjhsm eomcceaemoaems, lo` wjmo tjmy haaur, tjmy kust ls

hctmo queagiy èslppmlr. Pjm eomcceaemoaems tjlt lrm mxpihetlfim, ymlr eo lo` ymlr hut,

lo` mvmo `mal`m lctmr `mal`m, lrm tjhsm tjlt jlvm `mmp rhhts eo tjm cmlr lo` nrmm` tjlt

`revm eovmsthrs lo` nldfimrs liegm th tjm whri`―s dlrgmts. Gmmpeon tjes clat eo deo`

weii uitedltmiy iml` th yhur hwo trlèon e`mls tjlt alo fm usm` th trl`m tjm dlrgmts.

^jlt―s eo tjes fhhg8

Pjm fhhg es hrnloesm` eoth tjm chiihweon dlkhr ajlptmrs;

• Eotrhùateho th flagtmsteon dmtreas

• % Rilys

•

Revht Rheots

• Ilps lo` Nlps

• Qmlsholiety Rilys

•

Jenjs lo` Ihws

•

Shiudm• SEZ

7/21/2019 SPY Quant v 0.01


• Eotmr-Dlrgmt Vmiltehosjeps

• Mahohdea @ltl Vmimlsms

• Htjmr Qjhrt Pmrd Prlèon Rlttmros

E jlvm trem` th wretm tjes fhhg eo l sedpim ilonulnm. E è` oht wlot tjm rml`mrs th fm

hvmrwjmidm` fy hcc-putteon dlrgmt klrnho. Vml`mrs sjhui` fm lfim th rmlsholfiy rmpiealtmtjm rmsuits hc tjm trlèon strltmnems iestm`. E jhpm tjm rml`mr weii plr`ho dm ec lt loy pilam

eo tjes fhhg E jlvm vmmrm` lwly crhd tjlt eotmot.

^jy oh peaturms eo tjes fhhg8

Et es fmiemc hc deom tjlt ec tjmrm es shdm prmèatevm vlium th l ajlrt hr peaturm, tjmo tjm

oudfmrs tjlt armltm tjm ajlrts weii ahotleo tjlt eochrdlteho. E `h fmiemvm tjlt preams

ahotleo prmèatevm senoecealoam, lo` prmcmr th whrg wetj tjm jenjs, ihws, hpmos, aihsms lo`

vhiudms, hc tjm `leiy preams tjlt nh eoth tjm ajlrts.

^jy wretm tjes fhhg eostml` hc trl eon hur hwo laahuot.

Pjmrm es liwlys tjm qumsteho E who`mr wjmo E rml` eovmstdmot fhhgs; Ec tjmsm systmds lrm

sh nhh`, wjy oht kust usm tjmd th preot dhomy lii `ly ihon8 ^jy wretm lfhut tjmd8

^mii, E jlvm smvmrli loswmrs. Chr hom tjeon, E jlvm imlrom` l iht ùreon tjm prhamss hc

rmsmlrajeon tjes fhhg. Litjhunj E jlvm fmmo useon dloy hc tjmsm systmds chr ymlrs eo

vlrehus dlrgmts, tjmrm lrm liwlys omw suftimtems, omw twests, eo mvmry systmd. @mspetm

fmeon l systmdltea trl`mr, E ld l pmrsholi fmiemvmr tjlt et es edphssefim th kust rmst ho yhur

ilurmis lo` usm l filag fhx tjlt preots dhomy chrmvmr. Mvmry systmd omm`s th fm ahostlotiy

rmsmlrajm` lo` curtjmr `mvmihpm`, omw lvmoums mxpihrm`, chrdmr hi` pltjs èsflo`m`.

Qystmd `mvmihpdmot lo` trlèon es l ahostlotiy mvhiveon prhamss. Et es tjlt prhamss hc

ahoteouli `mvmihpdmot tjlt dlgms shdmhom l suaamsscui systmdltea trl`mr, oht tjm

systmds tjmdsmivms.

Pjm dlrgmts lrm l vmry fen pilam wetj dloy je``mo phagmts hc eomcceaemoay. Lo` ymt tjhsm

phagmts lrm ahostlotiy ajloneon. E tjeog tjm e`mls eo tjes fhhg lrm nrmlt pilams th stlrt

wjmo ihhgeon chr curtjmr eomcceaemoaems, lo` E tjeog tjm uitedltm suaamss rml`mrs weii mokhy

es wjmo tjmy stlrt ceoèon tjhsm eomcceaemoaems chr tjmdsmivms.

Eo l`èteho, E iegm th ahrrmspho` wetj lo eotmrmstm` ahdduoety hc htjmr `mvmihpmrs,

trl`mrs, lo` rmsmlrajmrs. ]oiegm dloy pmhpim E `h oht fmiemvm tjlt tjm sjlreon hc systmds

(eo dhst alsms) `mnrl`ms tjm systmd. Mvmry ymlr treiiehos hc `hiilrs lrm put th whrg eo tjm

dlrgmts. Pjmrm lrm trmo` chiihwmrs, ahuotmrtrmo` chiihwmrs, fuy lo` jhi` dutuli cuo`s,

`ly trl`mrs trlèon hcc nut, lo` tjhuslo`s hc htjmr typms hc trl`mrs lo` systmd chiihwmrs

hut tjmrm.

Oh dlttmr wjlt systmd yhu jlvm hr lpprhlaj yhu usm, et es l nulrlotmm tjlt tjmrm es

shdmhom hut tjmrm dhrm tjlo jlppy th ceii yhur trl`m eo nmomrli. Fy sjlreon e`mls wetj l

ahdduoety hc eotmrmstm` plrtems, E jhpm th imlro crhd tjmer e`mls ls wmii. Pjm slyeon, ’nevm

lo` yhu sjlii rmamevm— amrtleoiy lppiems jmrm.

7/21/2019 SPY Quant v 0.01


Ceoliiy, E iegm th wretm. E jhpm pmhpim mokhy rmlèon wjlt E wretm.

7/21/2019 SPY Quant v 0.01


Qjhrt Pmrd Prlèon Eam frmlgmr

^jlt `rlws pmhpim th sjhrt tmrd trlèon8

Jmrm lrm shdm rmlshos tjlt E alo rmlèiy tjeog hc;

Ihwmr trlèon ahddessehos

Pjm ahddesseho struaturm eo sjhrt tmrd trlèon es vmry ihw ahdplrm` th trl`ms tlgmo ho l

`mievmry flses.

Eoarmlsm` imvmrlnm

Qjhrt tmrd trl`mrs alo lvlei hc ls duaj ls chur tedms (E―vm tlgmo l ihw mo` cenurm, tjmrm lrm

frhgmrs wjh hccmr duaj dhrm tjlo 0Z imvmrlnm) tjmer mquety ls fuyeon phwmr. ]sm` wesmiy,

tjes dlrneo alo phtmoteliiy eoarmlsm tjmer prhcets quetm sufstloteliiy. Fut imvmrlnm, hrdlrneo, es l `hufim m`nm` swhr`7 chr eoarmlsm` imvmrlnm dlgms `ly trlèon vmry resgy,

mspmaeliiy ec hom sahrms phhriy ho tjm tjrmm gmy lttrefutms hc èsaepieom, resg dlolnmdmot,

lo` dhomy dlolnmdmot.

Rrhcet eo metjmr dlrgmt ermateho

Qjhrt tmrd trl`mrs hctmo tlgm rmahursm th sjhrt smiieon th tlgm l`vlotlnm hc `maieoeon sthag

preams. Pjm lfeiety th prhcet mvmo wjmo dlrgmts clii ùreon tjm trlèon `ly alo hfvehusiy fm

mxtrmdmiy usmcui, plrteauilriy ùreon fmlr dlrgmt ahoètehos.

^jy `ly trl`m hr eoùinm eo sjhrt tmrd trlèon8

Pjm dhst lpplrmot loswmr th tjes flsea qumsteho es quetm sedpim; Ph dlgm dhomy.

Pjm prhcet phtmoteli

Pjes es fy clr, tjm dhst hfvehus rmlsho. Eo MQ Deoe cuturms (wjmo Q&R =22 Eo`mx es trlèon

lrhuo` <=22 imvmis), tjm queotmssmoteli trl`mr ec alo altaj l sweon hc <%, es trlosiltm` eoth

rhunjiy >=2 ]Q@ prhcet fy trlèon kust hom cuturm ahotrlat. Ohw edlneom wetj tjm Eoeteli

lo` Dleotmoloam dlrneo rmquermdmots hc $=,36=, lo` $0,=22, tjlt <% sweon trlosiltms eoth

dhrm tjlo >% rmturo ho eovmstdmot!

Fut tjm dhtevlteho th sjhrt tmrd trlèon es hctmo oht tjlt sedpim7 fmyho` prhcetlfeiety

tjmrm denjt mxest htjmr dhtevltehos ls wmii, jmrm es dy tlgm ho tjmsm ’htjmr— dhtevltehos...

Pjm ajliimonm

Umt lohtjmr rmlsho tjlt stregms dm es tjm vmry ajliimonm hc tjm nldm. Dloy sjhrt tmrd

trl`mrs `mrevm ahose`mrlfim pmrsholi sltesclateho crhd l vmoturm tjlt oht hoiy hccmrs tjm

phtmoteli hc dlgeon nhh` dhomy fut tmsts hom―s deo` lo` eotmiimat, e.m. shdmtjeon wjeaj es

ajliimoneon eo etsmic.

7/21/2019 SPY Quant v 0.01


Pjm cldm

Pjm iurm hc cldm alooht fm enohrm`. Lo hutstloèoniy suaamsscui trl`mr jls l dhrm tjlo

rmlsholfim ajloam hc fmeon eo tjm iedmienjt; jm/sjm denjt nleo rmahnoeteho ls lo lutjhrety

ho tjm sufkmat, ajhhsm th wretm fhhgs, fmahdm l we`miy-rml` ahiudoest hr fm aliim` upho

fy tmimveseho ajloomis th smrvm ls l trlèon mxpmrt. Qh, et―s oht hoiy lfhut dlgeon dhomy.

@hpldeom rmimlsm

Dloy omurhihnests lo` psyajeltrests, wjeim mxpileoeon tjm whrgeons hc tjm judlo frleo,

tlig lfhut ’l rmwlr` systmd— eo tjm frleo wjeaj rmimlsms `hpldeom wjmo wm `h shdmtjeon

pimlsurlfim, ajliimoneon hr mxaeteon. Quaj lats wjmrm `hpldeom nmts mimvltm` eoaiu`m

nldfieon, ve`mh nldeon, jlveon smx, wltajeon phrohnrlpjy, liahjhi ahosudpteho,

ldhonst htjmrs. E whuiò―t jmsetltm th eoaiu`m sjhrt tmrd trlèon eo tjes altmnhry!

’Qjhrt tmrd trlèon es iegm phrohnrlpjy. Uhu alo―t `mceom et fut wjmo yhu smm et, yhu gohw et.—

Pjm lfhvm stltmdmot es eosperm` crhd l quhtm fy Vmsmrvm Flog hc Eoèl (VFE) nhvmrohr @.

Qufflrlh, fy jes stltmdmot th `mceom ceoloaeli stlfeiety,

’Ceoloaeli stlfeiety es iegm phrohnrlpjy. Uhu alo―t `mceom et fut wjmo yhu smm et, yhu gohw et.—

Pjmrm―s l phpuilr fmiemc tjlt :2-52% hc sjhrt tmrd trl`mrs ihsm dhomy. Pjlt dly pmrjlps

fm trum. Fut dloy ihsm fen fmalusm tjmy ilag tjm rmquerm` èsaepieom7 tjm èsaepieom omm`m`

th mxet eddmèltmiy wjmo tjm pream fmneos th dhvm lnleost tjmd.

Pjes fhhg `hms oht smmg th milfhrltm ho tjm psyajhihneali lspmats hc trlèon. Ohr `hms et

lttmdpt th fm l trmltesm ho tjm geo` hc èsaepieom rmquerm` th dlgm l suaamsscui `ly tedm

trl`mr -- lo` jhw th nh lfhut laquereon et. Qteii, et fmlrs mdpjlses tjlt l suaamsscui trl`mr

es hom wjh oht hoiy jls tjm ’stlyeon phwmr— fut es lish mo`hwm` wetj l smosm hc alid lo`

fliloam7; oht th lat iegm l ajeagmo wetj ets jml` aut hcc, wjmo tjm nheon nmts thunj - wjeaj

es fhuo` th jlppmo lnleo lo` lnleo lo` jlppmo lt uoprmèatlfim tedms. Qjhrt tmrd

trlèon jls ets rmwlr`s, oh `huft, fut tjm rmwlr`s ahdm wetj resgs lttlajm`. Qjhrt tmrd

trlèon alo fm dlstmrm` wetj tjm chiihweon;

• Lflo`ho tjm l`rmolieom rusj, chrnmt tjm mxaetmdmot. Rrhcet `mpmo`s upho `mtlajm`

lo` esaepieom` mxmauteho.

• Imlro tjm oudfmrs; Pjm olturm hc pream dhvmdmot dust nmt eofueit `mmpiy mohunj

eo yhu th liihw sphotlomhus `maeseho-dlgeon ùreon tjm trlèon `ly.

• Arhss-vmrecy; Hfkmatevm dmlsurmdmots dust ceitmr uoahosaehus fels.

7/21/2019 SPY Quant v 0.01


Jhw th mccmatevmiy trl`m tjm dlrgmt―s omxt dhvm8

’Lrm pream dhvms rlo`hd8 Es tjmrm loy flses chr trmo`s8 ^jlt dlgms preams dhvm8 Pjm ‚ljl!―

prhamss iems lt tjm jmlrt hc pream ajlonm. Chr eostloam, ahose`mr tjm smrems; HPPCCQQM. ^jlt

es tjm omxt imttmr8 Pjes puzzim armltms tmoseho. ]otei yhu smm tjm cerst imttmrs hc tjm hrèoli

oudfmrs, hom, twh. ‚Ljl!, yhu sly. L iht jlppmos ùreon lo ‚ljl―. Pjm puzzim èms lo` tjmtmoseho èssepltms. L shaemtli ―ljl!― `revms pream. Vml` tjm omwsplpmrs lo` tjm omws

dlnlzeoms ùreon l dlkhr dhvm. Lt cerst, oh hom nmts wjy tjm dhvm es jlppmoeon. Pjmrm―s l

iht hc ahocuseho. Rlrt hc tjm dhvm es wly up, shdm pmhpim nmt et. Lt tjm mo`, mvmryfh`y nmts et.

Pjm tmoseho es rmshivm` lo` tjm dhvm mo`s.—

- M` Qmyghtl eo Pmajoeali Loliyses Dlnlzeom

Eo sjhrt, tjm lrt hc spmauilteho / sjhrt tmrd trlèon es lfhut cenureon hut tjm dhst prhflfim

èrmateho tjm cuturm weii tlgm. Pjm cuturm es smi`hd prmèatlfim th l prmaesm `mnrmm, fut wm

alo dlgm trlèon prmèatehos tjlt jlvm jenjmr h``s. Pjm wly th dlgm dhomy eo sjhrttmrd trlèon es th fm lfim th loteaepltm tjm dlrgmt èrmateho fy useon shdm trlèon

tmajoequms, motmr tjm trl`m, lo` usm lpprhpreltm mxet strltmnems ieque`lteho prhamùrms

metjmr wetj prhcet, hr wetj l ihss.

Ahotrlry th phpuilr fmiemc, yhu `h oht omm` th gohw wjlt tjm pream weii fm eo tjm

cuturm th dlgm dhomy. Uhur nhli sjhui` rltjmr fm th edprhvm tjm h``s hc dlgeon

prhcetlfim trl`ms. Pjm usm hc qulotetltevm loliyses weii nevm yhu lo m`nm7 lo m`nm tjlt yhu

whui` oht jlvm nleom` wetjhut et, mvmo ec yhur loliyses es ls sedpim ls `mtmrdeoeon tjm

ihon, eotmrdmèltm lo` sjhrt-tmrd fels, wjmtjmr tjm pream resms , `maieoms hr stlys eo

se`mwlys hc tjm smaurety yhu lrm trlèon.

7/21/2019 SPY Quant v 0.01


Qjhrt Pmrd Prlèon VuimsFlsm` ho l stu`y hc oudmrhus trlèon fhhgs, dy trlèon mxpmremoam lo` tjm trlèon l`veam

tjlt E jlvm rmamevm` crhd cremo`s lo` mxpmrts wjh lrm eoth tjm jm`nm cuo`s fuseomss, E―vm

trem` th suddlrezm tjm ruims tjlt yhu omm` th l`jmrm th wjmo mdflrgeon ho l trlèon

alrmmr.

Vuim # <; Prlèon es l Fuseomss

Oh hom whui` stlrt l fuseomss wetjhut cerst mosureon mvmrytjeon - hr lidhst mvmrytjeon -

tjlt―s omm`m` th gmmp et nheon es cerdiy eo pilam. Umt, wjmo et ahdms th trlèon pmhpim try th

aut ahromrs, fm et wetj rmnlr` th tjm eoeteli alpetli eovmstdmot hr tjm eocrlstruaturm.

E wesj E ahui` dlgm et mlsy, wjlt es tjm alpetli rmquerm` chr motmreon eoth sjhrt tmrd

trlèon, lo` kust nevm yhu l chrduil iegm….

W (Lnm hc pltmroli nrlo`dhtjmr lt tedm hc `mltj) x (yhur aurrmot sjhm sezm)T / tjm squlrmrhht hc tjm ARE 4 Ldhuot omm` th trl`m cuii-tedm

Rilnelresm` crhd tjm fihn phst jttp;//faiuo`.ahd/62<1/23/26/sh-yhu-wlot-th-trl`m-chr-l-

ieveon-jhw-duaj-dhomy-`h-yhu-rmliiy-omm`/

Imt dm fm fiuot; ec yhur whrgeon alpetli es imss tjlo 622,222 ]Q@ (lo` fm prmplrm` th ihsm

tjlt 622,222 ]Q@ eo tjm sjhrt tmrd trlèon l`vmoturm !!) , yhu―` prhflfiy fm fmttmr hcc

putteon tjlt dhomy eo l dutuli cuo` hr l plssevm MPC tjlo lttmdpteon th fm l trl`mr7 tjlt

wly

Pjlt―s iht hc dhomy th shdm, fut tjlt weii nevm yhu tjm dhst pemam hc deo` lo` e`mliiy lihonmr ruowly eo wjeaj th lajemvm ahosestmot prhcetlfeiety.

Ho tjm htjmr jlo`, ec yhu lrm smrehus lfhut nmtteon eoth trlèon ho yhur hwo, dlgm surm

yhu jlvm tjm flsea eocrlstruaturm eo pilam, eo l`èteho th tjm stlrt-up alpetli. Pjes whui`

eoaiu`m l jenj-mo` ahdputmr `mèaltm` chr trlèon, jenj spmm` Eotmromt ahoomatehos

(ahupim hc tjmd7 ec hom nhms `hwo, yhu ahui` usm tjm htjmr), sufsarepteho th tjm fmst

trlèon piltchrd, pius pream ajlrts, `ltl, mta, tjlt yhu whui` omm`.

Vuim # 6; Jlvm l Prlèon Rilo

’Ec yhu clei th pilo, yhu pilo th clei—

L trlèon pilo es lfshiutmiy mssmoteli. Et es vetli th yhur trlèon suaamss. L trlèon pilo es

yhur rhl` dlp th suaamss eo tjm dlrgmt, wetjhut et yhu weii nmt ihst. @mvmihpeon l trlèon

pilo es mssmoteli chr ihon tmrd trlèon suaamss. Ahose`mr tjm chiihweon sedpim stmps eo

armlteon l trlèon pilo.

Qtmp <; Pjm cerst stmp eo dlgeon yhur trlèon pilo es th armltm l trlèon strltmny. Pjm

fennmst destlgm tjlt omw trl`mrs dlgm es th trl`m ho nut cmmieon, hr shdmhom mism―s trlèon

tep. Mvmo ec yhu dlgm shdm dhomy eo tjes dloomr, et es l trlèon seo fmalusm yhu alo―t

phssefiy rmpmlt tjm prhcets lnleo uoimss yhur cremo` nevms yhu lohtjmr tep. Uhu omm` th`mvmihp l trlèon strltmny tjlt yhu yhursmic uo`mrstlo` eose`m hut.

http://bclund.com/2013/06/02/so-you-want-to-trade-for-a-living-how-much-money-do-you-really-need/






7/21/2019 SPY Quant v 0.01


Qtmp 6; Qtmp twh es th ahose`mr resg dlolnmdmot fmalusm gohweon wjmo th motmr l trl`m es

kust ls edphrtlot ls gohweon wjmo th mxet et. Prlèon es kust iegm surnmry wjmrm yhu wlot

yhur `hathr th nmt fhtj tjm cerst eoaeseho lo` tjm ceoli stetaj renjt - hoiy eo tjes alsm, yhu

lrm tjm `hathr.

Qtmp 1; Hoam yhu jlvm armltm` yhur trlèon strltmny, et es tedm th tmst, rm-tmst, lo` tmst.Mvmrytjeon omm`s th fm tmstm` flagwlr`s lo` chrwlr`s. Uhu tmst `revm l alr fmchrm fuyeon

et7 tjmrm es oh rmlsho wjy yhu sjhuiò―t tmst yhur trlèon strltmny fmchrm lppiyeon et.

Qtmp 0; Gohw yhur trlèon strltmny iegm yhur fmst cremo`.

Vuim # 1; Fm pltemot

Rltemoam es lo mssmoteli trlet eo trlèon. L dlkhrety hc pmhpim wjh lrm omw th trlèon,

jhwmvmr, tmo` th mrr thwlr`s hvmrtrlèon. Alrrem` lwly fy lo l`rmolieom rusj, tjmy tmo` th

fmahdm rmagimss. Pjmy trl`m dhrm hctmo tjlo tjmy sjhui`, lo` trl`m l ilrnmr oudfmr hc

ahotrlats tjlo tjmy hunjt th. Qurm, yhu mxpmremoam dhrm tjreiis wjmo yhu trl`m hctmo. Et

nevms yhu l queag jenj. Fut tjes lpprhlaj alo rueo l trl`mr―s ceoloaeli wmii-fmeon, plrteauilr

hom wjh jls kust vmoturm` eoth tjm fuseomss.

Eo tjm prmvleieon ’E wlot et renjt ohw, renjt jmrm— trlèon moverhodmot, trl`mrs jlvm iettim

pltemoam. Jhwmvmr ec yhu stu`y tjm ievms hc suaamsscui trl`mrs, yhu weii ceo` tjlt tjmy jlvm

dloy tjeons eo ahddho. Pjm hom edphrtlot sedeilrety ldhon suaamsscui trl`mrs es

pltemoam. Pjes chrduil jls oht ajlonm` seoam mlriy <:22s, wjmo ]Q cuturms trlèon fmnlo.

Eo clat, et alo mvmo fm trlam` ls clr flag ls <302, wjmo trlèon thhg pilam eo tuiep fuif

cuturms.

Vuim # 0; Vmdleo ahosestmot

Quaamsscui trl`mrs ceo` l chrduil lo` steag th et. E whui` sunnmst l trl`mr, plrteauilriy l

ohveam trl`mr, sjhui` l`jmrm th hom hr twh alrmcuiiy smimatm` trlèon plttmros tjlt whrg

fmst chr jed / jmr. Pjm omm` chr l pilo, l strltmny lo` lppiyeon et eo l ahosestmot,

dmtjhèali dloomr alooht fm hvmrmdpjlsezm`.

^jmo et ahdms th trlèon, ruims lrm oht dl`m th fm frhgmo uoimss yhu wlot th mo` up

frhgm. Dhrm edphrtlotiy, ruims mxest th prhtmat us crhd hursmivms. Plgm tjm mxldpim hc l

cmw sedpim trlccea ruims, oldmiy `reveon ho tjm renjt se`m hc tjm rhl`, oht hvmr spmmèon,lo` oht `reveon lctmr ahosudeon liahjhiea `reogs. Ohw ahose`mr frmlgeon tjm tjrmm ruims

fy spmmèon ho tjm imct se`m hc tjm rhl` lctmr ahupim hc liahjhiea `reogs7

^jlt `h yhu tjeog weii jlppmo8

@h yhu tjeog tjlt tjm hoiy resg es tjlt yhu weii nmt l trlccea teagmt crhd tjm ahp8 Latuliiy,

yhu lrm iegmiy th fm l``m` th tjm iest hc rhl` laae`mot veateds.

^jy8 Qedpiy fmalusm dhst hc tjmd cleim` th hfmy sedpim trlccea ruims; Pjm sldm nhms chr l

trl`mr7 sjhui` yhu ajhhsm th spmauiltm eo lo eoahosestmot clsjeho, trust dm, tjm ceoloaeli

rmsuits denjt wmii fm sedeilr th yhur trlèon laahuot.

7/21/2019 SPY Quant v 0.01


Vuim # =; Imt weoomrs ruo, oht tjm ihsmrs

’Rrmss yhur weoomrs lo` oht tjm ihsmrs—.

Pjes es tjm dhst edphrtlot ruim eo trlèon sedpiy oht fmalusm Ilrry êiields jls wrettmo

sh, eo dloy hc jes trlèon fhhgs ihsmrs `h tjm hpphsetm; tjmy eoarmlsm tjm sezm hc tjmer fmts

wjmo ihseon, lo` tred tjmer fmts wjmo weooeon! êoomrs ihhg chr phsetevm strmlgs lo`

prmss jhdm tjmer l`vlotlnm.

Vuim # 3; Omvmr lvmrlnm `hwo lo` omvmr iem lfhut yhur ihssms

Pjm sjhrt pheot es hoiy pmhpim wetj rhhd-tmdpmrlturm E\ `hufim ihssms. Rrhcmsseholis

lvmrlnm up, omvmr `hwo. Pjmy nht th fm prhcmsseholis eo tjm cerst pilam fmalusm tjmy l``m`

th tjmer weoomrs, oht tjmer ihsmrs. Chr hom, yhu sjhuiò―t mvmo fm eo l setulteho wjmrm yhu

stlrt tjeogeon lfhut lvmrlneon `hwo. Uhu sjhui` jlvm mxetm` tjm trl`m fmchrm et nht th tjmpheot wjmrm lvmrlneon `hwo fmaldm tmdpteon

Eo clat, tjes ruim es ls hi` ls trlèon etsmic. @eagsho N. ^ltts, wjh wls Rrmse`mot hc tjm Omw

Uhrg Ahttho Mxajlonm fmtwmmo <:>: lo` <::2, wrhtm lfhut et ls mlriy ls tjm <::2s, eo tjm

fhhg Qpmauilteho Ls L Ceom Lrt lo` Pjhunjts ho Iecm;

’Et es fmttmr th ‚lvmrlnm up― tjlo th ‚lvmrlnm `hwo―. Pjes hpeoeho es ahotrlry th tjm hom

ahddhoiy jmi` lo` latm` upho7 et fmeon tjm prlateam th fuy, lo` ho l `maieom th fuy

dhrm. Pjes rmùams tjm lvmrlnm. Rrhflfiy chur tedms hut hc cevm tjes dmtjh` weii

rmsuit eo stregeon l rmlateho eo tjm dlrgmt tjlt weii prmvmot ihss, fut tjm cectj tedm,dmmteon wetj l pmrdlomotiy `maieoeon dlrgmt, tjm hpmrlthr ihsms jes jml` lo` aihsms

hut, dlgeon l jmlvy ihss -- l ihss sh nrmlt ls th freon ahdpimtm `mdhrliezlteho, hctmo

rueo.—

Pjmo, thh, yhu weii hctmo jmlr trl`mrs fhlsteon lfhut tjmer weoeon trl`ms. Eo ahotrlst,

smi`hd weii yhu jmlr trl`mrs l`det lfhut tjmer ihseon trl`ms. Dy uolsgm` l`veam whui` fm;

omvmr `miu`m yhursmic fy fhlsteon lfhut yhur weooeon trl`ms7 eostml`, fm jhomst th

yhursmic lfhut yhur ihseon trl`ms. Rimlsm dlgm et l jlfet oht th iem lfhut yhur trlèon

ihssms, lt imlst th yhursmic lo` yhur sphusm. Fy claeon tjm trutj wjmo yhu `h dlgm ihssms,

lt imlst yhu who―t fm tmdptm` th lvmrlnm `hwo lnleo.

Omvmr l`det th jlveon dl`m l prhcet, fut liwlys mdpjlsezm yhur ihssms.

- Crhd tjm fihn phst ’ <2 Pjeons E Imlrom` Crhd…, crhd Seathr Oem`mrjhccmr—

^jy sjhui` hom omvmr lvmrlnm `hwo8 Dltjmdltealiiy, et whui` tlgm thh ihon th

mxpileo. Et―s succeaemot th gohw tjlt tjlt―s jhw rmli iecm trlèon whrgs. Lidhst lii junm

flogruptaems eo trlèon ahdploems whri`we`m jlppmom` fmalusm tjm trl`ms eovhivm`

`hufim` up ihseon phsetehos wetj mxamssevm imvmrlnm hr iem` lfhut tjm ihssms th tjmdsmivms

lo` th tjmer fhssms. Jhpeon th rmahvmr ihssms fy lvmrlneon `hwo tjrhunj l`èteholi

imvmrlnm jlrìy mvmr whrgs uoimss shdmhom es rmliiy vmry iuagy.

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Vuim # >; Chiihw tjm plttmro, oht tjm pream

Rut yhur trust eo yhur trlèon plttmros, lo` `h oht fm lcrle` wjmo pream rmlaj jesthrea

jenjs hr ihws. Dlrgmts lrm wjmrm tjmy lrm chr l rmlsho. Mvliultm tjlt rmlsho ho ets hwo

dmrets. Enohrm tjm pream, chiihw tjm senoli. Pjeogeon ho tjm ieoms tjlt ’Pjm @hw Khoms

Eoùstreli Lvmrlnm ( @KEL) es ohw lt lo lii-tedm / cevm-ymlr jenj lo` trlèon lt <3,222imvmis lo` dy plttmro es tmiieon dm th nh ihon fut E `ho―t tjeog et weii nh fmyho` <3,22<,

mta.— es oht vmry wesm. Kust nh fy tjm plttmro. Iegmwesm, ec sly Q&R =22 Eo`mx es trlèon lt,

sly, =22 `ho―t fm lcrle` th nh sjhrt ec tjm plttmro tmiis yhu th `h sh.

Vuim # :; ]sm sthp ihss

Ls shho ls l trl`m es eoeteltm , yhu sjhui` jlvm l prhtmatevm sthp ihss.

Jhwmvmr, tjmrm es 55% ajloam tjlt l vmry tenjt sthp ihss hc < hr 6 pheots weii eovlrelfiy nmt

trennmrm` lo` yhu whui` fm sthppm` hut hc l pmrcmatiy nhh` trl`m.

Ec, ho tjm htjmr jlo`, yhu usm l vmry we`m sthp ihss vlium hc sly <<2.2= pheots (wjeaj es hom

teag dhrm tjlo tjm ilrnmst hom `ly sweon hc Q&R =22 Eo`mx ho Lpr 0, 6222, tjm eotrl`ly

rlonm wls <<2.20 pheots) et dly omvmr nmt trennmrm`. Pjm pheot es, yhu omm` th nevm yhur

sthp ihss shdm frmltjeon splam th whrg, fut oht tjhsm mxtrmdm imvmis hc <<2 pheots ho mvmry

trl`m yhu eoeteltm.

^mii, tjlt es tjm tjmhry. Ahdeon ohw th tjm prlatealiety hc sthp ihss

Pjm dlrgmt ihvms sthp ihssms. Eo rmli-iecm trlèon yhu weii shho èsahvmr tjlt tjm dlrgmt jls

l wly hc "gohweon— wjmrm yhur sthp ihss es. Pjm dlrgmt weii pmrehèaliiy tmst yhur sthpihssms sh ls th tlgm ls duaj dhomy ls phssefim crhd yhu.

Crhd tjm ceoloaeli ietmrlturm tjlt E―vm rml`, lo` crhd l phst-dhrtmd hc tjm trl`m ihn tjlt E

dleotleo, E jlvm pmrsholiiy ahdm th tjm chiihweon ahoaiuseho; Pjm trlèteholi sthp ihss

ometjmr rmùams ohr eoarmlsms l trl`mr―s ihssms rmiltevm th tjm fuy-lo`-jhi` strltmny. Pjes

es, hc ahursm, eo sjlrp ahotrlst th tjm ahddho fmiemc tjlt useon sthp ihss strltmnems alo

edprhvm eovmstdmot rmturos.

^jeim E dly oht fm lfim tjm hccmr tjm oetty-nretty hc sthp-ihss whrgeons eo `mtlei eo tjes

fhhg, jmrm lrm dy rmlshos wjy tjm sthp ihss strltmny `hmso―t whrg eo rmli iecm trlèon, ls

moveslnm` eo tjm flag tmsteon rmsuits;

Qthp ihssms lrm oht nulrlotmm` th whrg fmalusm hc cuii nlp hpmoeons lnleost hom―s

phsetehos. Chr mxldpim yhu lrm ihon wetj lo hvmroenjt phseteho wetj MQ cuturms trlèon lt

<,=22 imvmis, lo` yhur sthp ihss, imt us sly es lt <,0:2. Ohw supphsm MQ cuturms hpmos lt <,0>=

tjm omxt `ly, wjmrm `h yhu tjeog yhur sthp ihss imvmi hc <,0:2 whui` jlvm nht mxmautm`8

@ureon tjm eotrl`ly dhvmdmots, et dly ihhg rmlsholfiy wmii tjlt sthp ihss denjt nmt

mxmautm` lt hur `mserm` imvmi fut lnleo fmalusm tjm `ltl smt hoiy jls HJIA cenurms chr hur

flag tmsteon purphsms, et es edphssefim th tmii ec hur motry hr hur sthp ihss es tjm hom tjlt

haaurrm` ùreon tjm l`vmrsm dhvmdmot jlppmom` ùreon eotrl`ly (chr mxldpim, ahose`mrHJIA imvmis hc <=22, <=62, <0:2, <=<2, lo` lssudm wm jl` nhom ihon lt Hpmo+<%, e.m. lt

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<,=<= imvmi, fy pilaeon l sthp ihss imvmi lt hpmo-<%, e.m. lt <,0:=. Ohw metjmr hc tjm chiihweon

twh whui` jlvm jlppmom` ho tjlt `ly;

l) <,=62 es jet lctmr <,0:2 eo tjm eotrl`ly dhvmdmots, eo wjeaj alsm tjm hutahdm es l =-pheot

ihss ec mxetm` lt aihsm.

f) Ec <,0:2 es jet, lctmr <=62, eo wjeaj alsm tjm hutahdm es l 12-pheot ihss ls hur sthp ihss

imvmi hc <,0:= es jet shdmtedm ùreon tjm ahursm hc tjm `ly.

Et nmts mvmo dhrm ahdpimx th `mseno l sthp ihss ec hom ahose`mrs tjm trl`m vhiudms lt

mxtrmdm pheots ùreon tjm eotrl`ly jenj hr eotrl`ly ihw. Chr mxldpim, ahose`mr yhur sthp

es lt <,0:2 eo tjm lfhvm HJIA alsm, lo` yhu lrm jhièon <222 trl`m ihts (hr cuturm

ahotrlats), wjmrmls hoiy juo`rm` hr cmwmr ihts nmt mxmautm` lt <,0:2, jhw, tjmo, whui` yhu

trmlt tjm rmdleoeon ihts8

Qh, wjlt, tjmo, es tjm shiuteho8

Ls l ruim hc tjudf iedet yhur ihssms wetj tjm usm hc sthp ihssms ls pmr yhur resg lppmtetm

(lo` oh flag tmsteon rmsuits lrm surm lfhut yhur resg lppmtetm, chr mxldpim l 2.< % ihss hc

tjm trlèon alpetli denjt jurt shdmhom, wjmrmls mvmo l 6% ihss hc tjm trlèon alpetli dly

oht plrteauilriy fhtjmr shdmhom mism). Et jurts th tlgm l sthp ihss, fut et es duaj imss

pleocui tjlo tjm rueo hc tjm trlèon alpetli.

Jmoam tjm hi` l`lnm,

"Fuiis dlgm dhomy, fmlrs dlgm dhomy, fut pens nmt silunjtmrm`"

Ho tjm htjmr jlo`, seoam lii hur flag tmsteon es `hom lssudeon wm aihsm hut tjm phsetehos

ls pmr cexm` tedm, tjlt es metjmr omxt `ly lt aihsm, hr lt th`ly―s aihsm, wjy `h wm omm` th

fhtjmr lfhut tjm sthp ihssms. L prhpmr litmroltevm th tjm usm hc l sthp ihss strltmny eo suaj

l setulteho es th trl`m wetj l ihw mohunj pmramotlnm hc tjm trlèon alpetli, sh tjlt èslstmr

who't gohag us `hwo

Ls l ruim hc tjudf, wjmtjmr yhu chiihw sthp ihssms hr oht, E whui` sunnmst l alp hc 6% hc

yhur trlèon alpetli th resg ho l seonim trl`m ls yhur prhtmatevm sthp, wjeaj nevms yhu rhhd

chr =2 trl`ms.

Vuim # 5; @ho―t fm hfsmssm` fy deoutm-fy-deoutm dlrgmt dhvmdmots

’Hom nrmlt destlgm tjm dlo dlgms wjh wltajms tjm teagmr lii tjm tedm es tjlt jm trl`ms thh

hctmo—

- êiield @. Nloo

^ltajeon tjm teagmr alo fm cuo. Et alo mvmo fm dmsdmrezeon. Dloy pmhpim, tjhunj, motmr l

trl`m lo` tjmo loxehusiy wltaj tjm tlpm wetj tjmer myms nium` th tjm sarmmo, lidhst ls ec

tjmer wjhim iecm `mpmo`m` ho tjes hom trl`m. Hr, tjmy nh ajloomi surceon, dhveon crhd hom

fuseomss PS ajloomi th tjm omxt, tjmer deo` hfsmssm` wetj tjm hutahdm hc tjlt hom

plrteauilr trl`m.

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Pjes geo` hc fmjlvehur `hms oh hom loy nhh`. Vltjmr, wjlt et `hms es rlesm yhur fihh`

prmssurm lo` l`` th yhur strmss imvmis. @h yhur fihh` prmssurms l clvhur, motmr tjm trl`m ec

lii hc yhur trlèon ruims lrm dmt, put l sthp ihss, lo` nh tlgm l olp, hr nh th l dhvem, hr

pily wetj yhur ge`, hr jmip yhur plrtomr wetj tjm ahhgeon . . . .

Vuim # <2; Lvhe` hvmr-rmieloam ho dlrgmt nurus

E―d spetteon eo dy hwo ream fhwi jmrm, fut yhu sjhui` oht fm imtteon shdm smic-lppheotm`

dlrgmt nuru èatltm hr `hdeoltm yhur trlèon `maesehos. Pjm dhst yhu sjhui` mxpmat, hr

laampt, crhd chigs iegm dm lrm l cmw trlèon plttmros, lo` l fet hc l`veam ho jhw th dlgm l

trlèon pilo. Oh hom gohws hr alrms ls duaj lfhut yhur pmrsholi aeraudstloams ls yhu

yhursmic `h; jhw duaj dhomy yhu alo eovmst, yhur thimrloam chr pleo, yhur nhlis, yhur

dhst suetlfim lo` ahdchrtlfim tedm crldm, mta. Lo` ohtm, yhur nuru weii oht fhtjmr th plrt

wetj l seonim pmooy ec lii jes ’nrmlt peags— yhu clii chr ahdm l arhppmr.

Vuim # <<; Dleotleo l trlèon ihn

L trlèon èlry hr ihn es l nrmlt wly th ajmag lo` ahocerd yhur trlèon motrems lo` mxets.

Ahose`mr wjlt tjes alo `h chr yhu ls l trl`mr. Ec et es chiihwm` prhpmriy, et alo, lo` dhst

iegmiy weii, jmip edprhvm yhur imvmi hc smic-èsaepieom lo` uitedltmiy iml` th lo eoarmlsm eo

yhur smic-ahoce`moam. Jhw8 Ec yhu mxmautm wjmo tjm senolis alii chr lateho, yhu alo vlie`ltm

wjmtjmr yhu rmspho`m` wjmo aliim` upho th `h sh. Uhu alo ajmag yhur whrg. Uhu weii ceo`

hut wjmtjmr yhu jmsetltm` wjmo yhur dmtjh`s aliim` chr yhu th mxet lo` ec yhu tedm` et ls

pmr tjm systmd hr oht.

Lsg yhursmic tjm chiihweon qumstehos eo l`èteho th whrgeon hut yhur prhcet lo` ihss

laahuot;

• @e` E chiihw dy trlèon pilo th`ly8

• @e` E dleotleo èsaepieom th`ly8

• @e` E `h tjm rmsmlraj rmquerm` th`ly8

Pjm trlèon ihn weii rmeochram tjm vlieèty hc yhur trlèon strltmny. Fy altlihnueon yhur

trl`ms, yhu weii nleo dhrm mxpmremoam eo e`motecyeon tjm plttmros tjlt `revm yhur trlèon

senolis. Et lish gmmps trlag hc wjlt wmot renjt hr wjlt wmot wrhon wetj l trlèon pilo. Et

weii liihw yhu th stu`y lo` mxldeom tjm rmsuits eo filag lo` wjetm. Ho suaamsscui trlèon

`lys, et weii fm nhh` th alpetliezm ho yhur suaamssms sh tjlt et alo fm rmpmltm`. Hc ahursm,

ho fl` `lys, prhve`m` yhu lrm oht tmdptm` th lvmrlnm `hwo hr tmdptm` th je`m crhd yhur

sphusm lfhut yhur fl` `ly, et alo jmip yhu chaus ho wjlt wmot wrhon sh tjlt yhu alo

uo`mrstlo` lo` edprhvm ho et lo` sthp rmpmlteon tjm sldm destlgms hvmr lo` hvmr lnleo.

Vuim # <6;@ho―t tjeog ’tjes dlrgmt stucc— es mlsy

Et―s oht tjlt jlr` th dlgm dhomy metjmr eo l rhlreon fuii dlrgmt hr l rlneon fmlr dlrgmt.

@ho―t tlgm yhursmic th fm l nmoeus wjmo mvmrytjeon es nheon nrmlt chr yhu. Mquliiy, `ho―t

tjeog hc yhursmic th fm ùdf wjmo ohtjeon es nheon renjt. Pjm dlrgmt wjeps us lii ohw

lo` tjmo. Pjm wjeppeon usuliiy ahdms kust wjmo wm tjeog wm―vm nht et lii cenurm` hut.

7/21/2019 SPY Quant v 0.01


Jmrm E whui` iegm prmsmot lo lolihny wetj tjm phssefim dhvms eo ajmss.

Kust lctmr tjm cerst dhvm, tjmrm lrm 022 dhvms hpmo chr fhtj pilymrs. Mlaj pilymr alo dhvm

loy hc jes : plwos < hr 6 squlrms lo` tjm goenjts mlaj jlvm twh squlrms tjmy alo nh ho th

‑ lo`, jmoam 62x62 phssefeietems. Lctmr twh dhvms lpemam, tjmrm lrm >6,2:0 phssefim dhvms

lvleilfim, lctmr tjrmm dhvms lpemam, tjmrm lrm 5+ deiieho dhvms phssefim, lo` lctmr tjm churdhvms lpemam, tjmrm lrm 1<:,5>5,=30,222, hr lfhut 1<5 feiieho phssefeietems.

Ec tjm aliauiltehos tjlt E dl`m lrm renjt, tjmrm lrm <35,=<:,:65,<22,=00,222,222,222,222,222

wlys th pily tjm cerst tmo dhvms hc l nldm hc ajmss. Pjlt es lfhut <35 hateiieho phssefeietems!

^mii tjhsm lrm tjm oudfmrs hc phssefeietems eo l nldm hc ajmss wjeaj es pilym` fmtwmmo

hoiy 6 pilymrs. Eo ahotrlst, tjm trlèon nldm jls juo`rm`s hc tjhuslo`s hc pilymrs lo`

tjmrmchrm prlatealiiy eoceoetm oudfmr hc phssefim dhvms lvleilfim!

Qh, yhu dust imlro th put yhur mnh lse`m wjmo `mlieon wetj tjm dlrgmt. Vmdmdfmr, tjm

dlrgmt, lo` hoiy tjm dlrgmt, es liwlys renjt, lo` et―s wm wjh ahui` fm wrhon.

’@ho't fm l jmrh. @ho't jlvm lo mnh. Liwlys qumsteho yhursmic lo` yhur lfeiety. @ho―t mvmr

cmmi tjlt yhu lrm vmry nhh`. Pjm smaho` yhu `h, yhu lrm `ml`—

‑ Rlui Pu`hr Khoms.

Lo` tjm Vuim # <0 ; Ievm fy tjm ruims

Ec yhu chiihw tjm ruims yhu jlvm dl`m, tjmo yhu jlvm l fmttmr ajloam hc suaammèon. Pjes

lppiems th loy lspmat hc iecm. Ls Imholr`h `l Seoae stltm`, ’Qedpieaety frmm`s mimnloam.—

E `ho―t tjeog yhu ls lo l`vloam` trl`mr fhunjt tjes fhhg th rml` tjes cerst ajlptmr,

imt―s dhvm ho tligeon lfhut wjlt es supphsm` th fm tjm fueièon fihag hc \ulot

trlèon ’flagtmsteon—

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Eotrhùateho th flagtmsteon dmtreas

^jy Flagtmst l trl eon strltmny8

\ueag loswmrs th tjm qumsteho;

• th `mtmrdeom wjmtjmr l tjmhry hr jyphtjmteali ahostruat es vlie` eo jesthreali

tmsteon

• th suddlrezm tjm hvmrlii jyphtjmteali pmrchrdloam hc l systmd lo` th loliyzm ets

vlrehus lspmats eo hr`mr th eshiltm ets strhon lo` wmlg pheots.

• tjm purphsm hc tmsteon l plttmro hr l trlèon systmd es sedpiy th ceo` hut wjlt weii

whrg fmst ho tjm flses hc wjlt jl` whrgm` fmst eo tjm plst. Uhu tmst `revm l alr

fmchrm fuyeon et7 tjmrm es oh rmlsho wjy yhu sjhuiò―t tmst yhur trlèon strltmny

fmchrm lppiyeon et.

^jlt es Flagtmsteon8

@mceoeteho hc flagtmsteon crhd eovmsthpmèl

Flagtmsteon es l gmy ahdphomot hc mccmatevm trlèon-systmd `mvmihpdmot. Et es

laahdpiesjm` fy rmahostruateon, wetj jesthreali `ltl, trl`ms tjlt whui` jlvm haaurrm` eo

tjm plst useon ruims `mceom` fy l nevmo strltmny. Pjm rmsuit hccmrs stltesteas tjlt alo fm usm`

th nlunm tjm mccmatevmomss hc tjm strltmny. ]seon tjes `ltl, trl`mrs alo hptedezm lo`

edprhvm tjmer strltmnems, ceo` loy tmajoeali hr tjmhrmteali cilws, lo` nleo ahoce`moam eo

tjmer strltmny fmchrm lppiyeon et th tjm rmli dlrgmts. Pjm uo`mriyeon tjmhry es tjlt loy

strltmny tjlt whrgm` wmii eo tjm plst es iegmiy th whrg wmii eo tjm cuturm, lo` ahovmrsmiy,

loy strltmny tjlt pmrchrdm` phhriy eo tjm plst es iegmiy th pmrchrd phhriy eo tjm cuturm.

Pjes lrteaim tlgms l ihhg lt wjlt lppiealtehos lrm usm` th flagtmst, wjlt geo` hc `ltl es

hftleom`, lo` jhw th put et th usm!

Edphrtlot dmtreas th ahose`mr eo tjm FlagtmsteonPjmrm lrm dloy clathrs trl`mrs ply lttmoteho th wjmo tjmy lrm flagtmsteon trlèon

strltmnems. L tjhrhunj flag tmst hc l trlèon systmd sjhui` eoaiu`m tjm chiihweon

eochrdlteho. Jmrm es l iest hc tjm dhst edphrtlot tjeons th rmdmdfmr wjeim flagtmsteon;

Oudfmr hc ymlrs loliysm`; Litjhunj et es `mserlfim th tmst ls duaj `ltl ls phssefim, tjm

deoedud sjhui` fm lt-imlst ilst 0 ymlrs hc rmamot jesthreali `ltl. Hctmo pmhpim tmst tjm

prmvehus fuii dlrgmt―s `ltl ec tjmy cenurm tjlt tjm aurrmot dlrgmt rmsmdfims l fuii dlrgmt,

lo` veam vmrsl. Pjm dhst edphrtlot `ltl trloajm es tjm dhst rmamot hom ls tjlt es wjlt tjm

aurrmot dlrgmt pjlsm es, ls yhu wlot yhur trl`ms th whrg tjmrm.

Oudfmr hc trl`ms loliysm`; Dhrm edphrtlot tjlo tjm oudfmr hc ymlrs loliysm` es tjm

oudfmr hc trl`ms loliysm`. L typeali plttmro sjhui` nmomrltm lt imlst 62 th 6= trl`ms hvmr

tjm tmst pmreh` eo hr`mr th supphrt tjm stltesteali senoecealoam hc flag-tmsteon rmsuits. Et

whui` fm wrhon th lssudm tjlt l plttmro tjlt jl` chrdm` hoiy l ahupim hc tedms eo tjm

plst es l nue`m hr rmcmrmoam th l nhh` trlèon hpphrtuoety eo tjm cuturm.

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Uhu dly pmrjlps jlvm ahdm larhss tjm tmrd aliim` laaurlay wjeim rmlèon stltesteas.

Laaurlay usuliiy eoarmlsms ls tjm oudfmr hc sldpims fmahdms ilrnmr lo` tjm dmlsurmdmot

hc `mvelteho hr mrrhr fmahdms prhphrteholtmiy sdliimr. Laaurlay es aliauiltm` ls chiihws;

Laaurlay 4 (<- (</ Qqulrm rhht hc tjm sldpim sezm))*<22.

Pjes ahoampt alo fm mxtmo`m` th tjm oudfmr hc trl`ms loliysm`. Chr mxldpim, wetj l

sldpim hc chur trl`ms, tjm mrrhr es =2%. Ec l systmd jls jl` hoiy 0 trl`ms, wjmtjmr

prhcetlfim hr ihss-dlgeon, et es vmry ècceauit th `rlw loy ahoaiusehos lfhut pmrchrdloam

mxpmatltehos. Ph rmùam tjm mrrhr th <2%, tjm sldpim sezm jls th fm <22 trl`ms. Fut tjes

ahui` fm treagy eo rmspmat hc l systmd tjlt denjt nmomrltm hoiy 1 hr 0 trl`ms eo l ymlr. Ph

ahdpmosltm chr tjes, tjm e`moteali plttmro alo fm lppiem` th htjmr dlrgmts lo` tjm sldpim

sezm tjus eoarmlsm`. Fy gmmpeon tjm sldpim mrrhr th oh dhrm tjlo 62%, tjm resg hc sdlii

sldpim sezm alo fm deoedezm`.

Rmramotlnm weooeon trl`ms; Pjes es oht ls edphrtlot ls hom denjt tjeog. Eo rmliety, cmw

plttmros jlvm dhrm tjlo >2 pmramot weooeon trl`ms. Rlttmros tjlt lrm ahrrmat ls iettim ls 1=

pmramot hc tjm tedm alo steii fm nhh` systmds, wjmrmls systmds tjlt lrm laaurltm ls duaj

ls 52 pmramot hc tjm tedm dly fm fl` systmds.

Nrhss Rrhcet; es tjm sud hc pheots nmomrltm` fy lii prhcetlfim trl`ms

Nrhss Ihss; es tjm sud hc pheots nmomrltm` fy lii ihss dlgeon trl`ms

Phtli Omt prhcet; es nrhss prhcet deous nrhss ihss

Phtli Omt prhcet %; es tjm sud hc lii trl`ms prhcet hr ihss eo pmramotlnm tmrds l`` thnmtjmr

Lvmrlnm prhcet pmr trl`m; Pjes dmlsurm tmiis yhu wjlt tjm lvmrlnm prhcet pmr trl`m chr lii

tjm trl`ms jls fmmo, deous ahddesseho lo` siepplnm. Pjm lvmrlnm prhcet pmr trl`m cenurm es

edphrtlot ls et ahose`mrs lii prhcets lo` lii ihssms. Qhdm pmhpim denjt qumsteho - lo`

imnetedltmiy, thh - wjmtjmr, sly, l <-pheot lvmrlnm prhcet whui` vlry th l nrmlt `mnrmm crhd

tjm uo`mriyeon $QRU vlium. Chr mxldpim, l <-pheot nleo trlosiltms th imss tjlo < pmramotlnm

nleo wjmo tjm $QRU es trlèon lfhvm <=2 imvmis, ls hpphsm` th wjmo tjm $QRU es trlèon

fmihw <22 imvmis. Qh, et―s edphrtlot th vemw tjm trl`m `mtleis eo pmramotlnm tmrds ls wmii.

Dmèlo prhcet pmr trl`m; eo prhflfeiety tjmhry lo` stltesteas, dmèlo es `msarefm` ls tjm

oudmreali vlium smplrlteon tjm jenjmr jlic hc l sldpim, l phpuilteho, hr l prhflfeiety

èstrefuteho, crhd tjm ihwmr jlic. Pjm dmèlo hc l ceoetm iest hc oudfmrs alo fm chuo` fy

lrrloneon lii tjm hfsmrvltehos crhd ihwmst vlium th jenjmst vlium lo` peageon tjm de`ìm

hom. Ec tjmrm es lo mvmo oudfmr hc hfsmrvltehos, tjmo tjmrm es oh seonim de`ìm vlium7 tjm

dmèlo es tjmo usuliiy `mceom` th fm tjm dmlo hc tjm twh de`ìm vliums.

Pjm dmèlo alo fm usm` ls l dmlsurm hc ihalteho wjmo l èstrefuteho es sgmwm`, sh, et―s

edphrtlot th vemw tjm dmèlo prhcet pmr trl`m (lo` prhcet pmramotlnm pmr trl`m ls wmii) th

fm eo trlèon strltmnems clvhur. Chr mxldpim ec tjm lvmrlnm prhcet pmr trl`m es, imt―s sly 2.=%lo` dmèlo prhcet pmr trl`m es -2.6%, ahose`mr lvheèon tjm systmd.

7/21/2019 SPY Quant v 0.01


Ilrnmst seonim ihseon trl`m; Pjes dmlsurm eoèaltms jhw duaj hc tjm `rlw`hwo es tjm

rmsuit hc l seonim ihseon trl`m. Eo rmli-iecm trlèon, tjes jmips yhu l`kust tjm eoeteli sthp ihss.

Chr mxldpim, ec tjm lvmrlnm ihseon trl`m wls $ 622 lo` tjm ilrnmst seonim ihseon trl`m wls $

<,322, ls yhu whui` rmlèiy numss, l nhh` phrteho hc tjm lvmrlnm ihseon trl`m es fhrom fy

tjm ilrnmst ihseon trl`m. Ec yhu jl` l fmttmr wly hc dlolneon tjm ilrnmst ihsmr, yhur hvmrlii

systmd pmrchrdloam whui` fm ahose`mrlfiy fmttmr. Uhu sjhui` eovmstenltm curtjmr tjm

alusm chr tjm ilrnmr ihseon trl`ms. Eo rmli iecm trlèon fm prmplrm` th moahuotmr lo mvmo

jenjmr ilrnmst ihss, tjlo tjrhwo up fy flag tmstm` rmsuits lo` frlam yhursmic th jloìm

suaj setulteho.

Ilrnmst seonim weooeon trl`m; Pjes es dhrm edphrtlot tjlo tjm ilrnmst seonim ihseon

trl`m. ^jy8 Qupphsm, chr mxldpim, yhur thtli jyphtjmteali prhcet wls $<22,222, lo` sly $

:2,222 hc tjes es lttrefutm` th hoiy hom trl`m (m.n. sjhrt wetj =Z imvmrlnm, ls yhu fmiemvm` eo

Qmii eo Hathfmr strltmny lt mo` hc Qmp 622: lo` ahvmrm` lt mo` hc Hat 622:), tjmo wjlt yhu

jlvm es l èsthrtm` lvmrlnm trl`m cenurm. Et―s hctmo l nhh` e`ml th rmdhvm suaj lo

mxampteholi seonim trl`m crhd tjm hvmrlii rmsuits lo` rm-ahdputm tjm systmd pmrchrdloam

eo hr`mr th ahocerd wjmtjmr tjm trlèon systmd es latuliiy nhh` mohunj th trl`m. Eo rmli

iecm trlèon, fm ls rmliestea ls phssefim lo` fm prmplrm` tjlt yhu dly omvmr moahuotmr tjlt

ilrnmst weooeon trl`m `mrevm` crhd tjm flag tmstm` rmsuits.

Rrhcet clathr; Rrhcet clathr es tjm systmd―s nrhss prhcet ève`m` fy nrhss ihss. Ihhg chr

systmds tjlt jlvm l prhcet clathr hc 6.=, hr jenjmr.

Hutiemr l`kustm` prhcet clathr; êtj loy trlèon plttmro, yhu lrm nheon th jlvm hom hr

twh mxampteholi weos. Pjm ajloams hc tjmsm trl`ms rmaurreon eo tjm cuturm lrm vmry sied lo`

sjhuiò―t fm ahose`mrm` eo tjm hvmrlii pmrchrdloam suddlry. Et es hctmo l nhh` e`ml thrmdhvm tjm ilrnmst seonim weooeon trl`m wjeim aliauilteon tjm hutiemr l`kustm` prhcet clathr.

Lo` es tjm wly hutiemr l`kustm` prhcet clathr es aliauiltm` eo tjes fhhg wjmo prmsmoteon

flagtmst pmrchrdloam suddlry.

Uhu denjt wlot th ahose`mr rmdhveon mvmo tjm thp =% weoomrs. Chr mxldpim, ec tjm

oudfmr hc trl`ms es 02, tjmo rmdhvm thp 6 ilrnmst weoomrs, ec oudfmr hc trl`ms es 32, lo`

tjmo rmdhvm thp 1 ilrnmst weoomrs. Ihhg chr trlèon systmds wetj lo hutiemr l`kustm` prhcet

clathr hc dhrm tjlo 6.

Dlxedud oudfmr hc ahosmautevm ihsmrs / weoomrs; Pjm dlxedud oudfmr hcahosmautevm weooeon lo` ihseon nmomrltm` es, dhrm hctmo tjlo oht, purmiy psyajhihneali.

Mvmo useon lo mxamiimot trlèon plttmro es oh nulrlotmm tjlt yhu weii hoiy jlvm weooeon

trl`ms eo suaamsseho lii tjm tedm. Eo htjmr whr`s, tjmrm lrm fhuo` th fm l streon hc

ahosmautevm ihseon trl`ms. Fut oht dloy trl`mrs jlvm tjm lfeiety th dleotleo tjmer

èsaepieom tjrhunj chur hr dhrm suaamssevm weooeon/ihseon trlèon trl`ms. Mvmo lt tjm tjer`

ahosmautevm ihss, yhu whui` ceo` dloy trl`mrs rml`y th lflo`ho tjmer systmd, tjeogeon

tjlt metjmr tjm systmd es nheon tjrhunj rhunj pltaj. Ph fm l weoomr hom whui` omm` th

wmltjmr suaj sthrds lo` fm lfim th tlgm tmo hr dhrm ahosmautevm ihssms eo hom―s stre`m.

Pjmrm es lohtjmr prhfimd tjlt cmw hc tjm trl`mrs moahuotmr, tjeogeon tjlt tjmer systmd esnheon tjrhunj l ciugy weooeon strmlg lctmr jetteon 0 hr dhrm ahosmautevm weoomrs.

7/21/2019 SPY Quant v 0.01


Vmdmdfmr, Aldlrmrh l tjhrhunjfrm` rlamjhrsm rlesm` lo` rlam` eo Rumrth Veah jhi`s tjm

whri` rmahr` hc tjm dhst ahosmautevm weos chr l tjhrhunjfrm` rlamjhrsm lt =3 eo l smrems hc

rlams fmtwmmo Lprei <5=1 lo` Lunust <5==. Pjm pheot wm lrm tryeon th dlgm jmrm es, tjm

judlo deo` alooht rmiltm mlseiy th lo uofrhgmo streon hc suaamssms. Lii hc us mxpmat l

cleiurm th jlppmo lctmr l suaamsscui ruo. Lo` hoam l nhh` ruo jls fmmo frhgmo, wm lnleo

wlet chr suaamss. Eo trlèon, tjhunj, ec yhu lrm ho l aimlr weooeon strmlg, prmss ho. @ho―t

liihw tjm cmlr hc ihss th sthp yhu eo yhur weooeon strmlgs, eo sjhrt ls tjmy sly eo trlèon

dloulis, ’Imt weoomrs ruo, oht tjm ihsmrs—

Dlxedud `rlw`hwo; Pjes es hom hc tjm dhst edphrtlot lspmats hc l trlèon systmd. L

vmry ilrnm `rlw`hwo es l omnltevm clathr. Dlxedud `rlw`hwo es tjm ilrnmst pmlg-th-vliimy

ihss hc l trlèon systmd―s jesthreali prhcet aurvm. Dlxedud `rlw`hwo alo fm prmsmotm` eo

lfshiutm @hiilr tmrds.

Dlxedud `rlw`hwo (%); Ls èsaussm` mlriemr, dlxedud `rlw`hwo es tjm ilrnmst pmlg-

th-vliimy ihss - eo lfshiutm @hiilr tmrds - hc tjm trlèon systmd―s jesthreali prhcet. Ohw,supphsm yhu whui` iegm th `mtmrdeom tjm mcceaemoay hc l trlèon strltmny eo tmrds hc tjm

hvmrlii rmturos et prhve`m` ho yhur stlrteon alpetli. Eo tjlt alsm, wm alo aliauiltm tjm

dlxedud `rlw`hwo ls l pmramotlnm hc tjm stlrteon alpetli.

Jmrm es peathreli `mpeateho hc Dlxedud `rlw`hwo

Rlyhcc rlteh (Vlteh lvn weo/lvn ihss); Rlyhcc rlteh es tjm systmd―s lvmrlnm prhcet eo @hiilr

tmrds pmr weooeon trl`m, ève`m` fy tjm lvmrlnm ihss eo @hiilr tmrds pmr ihseon trl`m.

]oimss tjm systmd jls l plrteauilriy jenj weo/ihss rlteh, wm ihhg chr jenj plyhcc rltehs hr

lvmrlnm prhcet pmr weooeon trl`m ève`m` fy lvmrlnm ihss pmr ihseon trl`m

Rlyhcc rlteh % (Vlteh lvn weo/lvn ihss %); Lvmrlnm prhcet % pmr weooeon trl`m ève`m`

fy lvmrlnm ihss % pmr ihseon trl`m.

Iuag Clathr; Pjes dmlsurm sjhws jhw tjm ilrnmst trl`m ahdplrm` wetj tjm lvmrlnm trl`m

lo` es aliauiltm` fy èveèon tjm pmramotlnm prhcet hc tjm ilrnmst weooeon trl`m fy tjmlvmrlnm pmramotlnm prhcet hc lii weooeon trl`ms. Pjm ilrnmr tjm vlium hc tjm iuag clathr, tjm

7/21/2019 SPY Quant v 0.01


nrmltmr phrteho hc tjm systmd―s rmsuits alo fm lttrefutm` th tjm ilrnmst weooeon trl`m, hr,

iuag.

Vmahvmry clathr; Phtli Omt Rrhcet ève`m` fy lfshiutm vlium hc dlxedud `rlw`hwo. Et―s

`mserlfim chr l systmd th jlvm l rmahvmry clathr nrmltmr tjlo fuy lo` jhi`.

Rmramot weoeon dhotjs hr ymlrs; @mpmoèon ho tjm tedm jhrezho, l trlèon plttmro tjlt

lvmrlnms hoiy hom weooeon dhotj hut hc twmivm, hr twh weooeon ymlrs hut hc tmo ymlrs, es

uolttrlatevm. Uhu omm` th ihhg chr plttmros wetj lt imlst cevm prhcetlfim dhotjs eo l ymlr

lo` cevm prhcetlfim ymlrs eo l tmo-ymlr pmreh`.

Qjlrpm Vlteh; Pjes es prhflfiy tjm dhst ahddho dmlsurm usm` fy ilrnm cuo` jhusms eo

ahdplreon phtmoteli eovmstdmots. Pjm Qjlrpm Vlteh wls chrduiltm` fy Ohfmi Ilurmltm

êiield C. Qjlrpm eo <533 ls l dmlsurm chr ahdplreon tjm pmrchrdloam hc dutuli cuo`s.

Pjes dmlsurm wls eotrhùam` ls l rmwlr`-th-vlrelfeiety rlteh fut sufsmqumotiy aldm th fm

rmcmrrm` th sedpiy ls tjm Qjlrpm Vlteh lctmr ets hreneolthr. Qjlrpm Vlteh wls hom hc tjm cerststltesteali dmlsurms tjlt clathrm` fhtj rmturo lo` resg eoth l seonim chrduil, tjmrmfy neveon

us l seonim stltesteali dmlsurm hc resg-l`kustm` rmturo.

Qjlrpm Vlteh 4 (LRV ‑ VCV)/ (Qt`@mvLRV)

^jmrm;

• LRV 4 Loouliezm` phrtchieh rmturo

• VCV 4 Loouliezm` resg-crmm rltm (52 ‑ `ly P-feiis lrm typealiiy usm` ls l prhxy)

•

Qtlo`lr` @mvelteho hc LRV (Qt`@mvLRV) 4 Loouliezm` stlo`lr` `mvelteho hc tjm

phrtchieh―s rmturos.

• Chr sjhrt tmrd trlèon ls hur jhièon pmreh` es hoiy hom hr cmw `lys, tjm VCV alo

fm smt th zmrh.

ps; wm jlvm smt tjm VCV vlium th [mrh eo tjm flagtmst pmrchrdloam suddlry rmphrts tjlt wm

lrm prmsmoteon eo tjes fhhg.

Qjlrpm Vlteh eoèaltms tjm sdhhtjomss hc tjm mquety aurvm. Pjm jenjmr tjm rlteh, tjm

sdhhtjmr tjm mquety nrhwtj hr `maieom. L Qjlrpm Vlteh vlium hc lfhvm 2.= es ahose`mrm`

nhh`, wjeim l vlium lfhvm <.2 es mxamiimot lo` l vlium lfhvm 6.2 es ahose`mrm` hutstloèon.

^jmo ajhhseon l plttmro―s rmielfeiety eo rmli-iecm trlèon, Qjlrpm Vlteh es usm` ho tjm

lssudpteho hc l zmrh resg-crmm rltm hc rmturo lo` lt imlst l Qjlrpm Vlteh hc 2.= crhd tjm

flag tmsteon rmsuits.

Rmssedestea rltm hc rmturo; Rmssedestea rmturo ho dlrneo (RVHD) es lo loouliezm` yemi`

ho dlrneo tjlt es l`kustm` eo l wly tjlt pmssedestealiiy lssudms tjlt l trlèon strltmny weii

weo imss lo` ihsm dhrm eo rmli-tedm trlèon tjlo et e` eo ets jesthreali seduilteho.

RVHD l`kusts tjm nrhss prhcet fy aliauilteon l omw, dltjmdltealiiy l`kustm`, pmssedestea

ihwmr nrhss prhcet. Pjm cerst stmp es th aliauiltm tjm oudfmr hc weooeon trl`ms rmùam` fy

ets squlrm rhht hr, eo htjmr whr`s, l`kustm` fy ets stlo`lr` mrrhr. Pjes l`kustm` oudfmr hc

7/21/2019 SPY Quant v 0.01


weooeon trl`ms es tjmo duitepiem` fy tjm lvmrlnm weooeon trl`m th lrrevm lt l omw, l`kustm`

ihwmr nrhss prhcet.

RVHD omxt l`kusts tjm nrhss ihss fy aliauilteon l omw7 dltjmdltealiiy l`kustm`,

pmssedestea jenjmr nrhss ihss. Pjm cerst stmp es th aliauiltm tjm oudfmr hc ihseon trl`ms

eoarmlsm` fy ets squlrm rhht hr, eo htjmr whr`s, l`kustm` fy ets stlo`lr` mrrhr. Pjesl`kustm` oudfmr hc ihseon trl`ms es tjmo duitepiem` fy tjm lvmrlnm ihseon trl`m th lrrevm lt

l omw, l`kustm` ilrnmr nrhss ihss.

L omw l`kustm` nrhss prhcet, hr ihss, es tjmo aliauiltm` useon tjmsm l`kustm` pmssedestea

nrhss prhcet lo` nrhss ihss vliums. Pjes es tjmo usm` th prhùam lo loouliezm` rltm hc rmturo

ho dlrneo.

Pjm chrduil es

• RVHD 4 {WL^ x (#^P - Qqrt(#^P))T - WLI x (#IP - Qqrt(#IP))T} / Dlrneo

• #^P 4 Oudfmr hc êos

• L^ 4 Lvmrlnm êo

• #IP 4 Oudfmr hc Ihssms

• LI 4 Lvmrlnm Ihss

• L#^P 4 L`kustm` Oudfmr hc êos

• L#IP 4 L`kustm` Oudfmr hc Ihssms

• LLNR 4 L`kustm` Loouliezm` Nrhss Rrhcet

• LLNI 4 L`kustm` Loouliezm` Nrhss Ihss

• L#^P 4 #^P ‑ Qqrt (#^P)

•

L#IP 4 #IP +Qqrt (#IP)

• LLNR 4 L#^P x L^

• LLNI 4 L#IP x LI

• Qqrt 4 Qqulrm rhht

Lo mxldpim jmrm whui` jmip. Lssudm l $=2,222 loouliezm` nrhss prhcet, =2 weos7 $62,222

loouliezm` nrhss ihss, =2 ihssms7 lo` l stlrteon alpetli hc $<22,222.

Ls l flses chr ahdplresho, imt us cerst aliauiltm lo loouliezm` rltm hc rmturo ho tjm stlrteon

alpetli. Pjes whui` fm l 12 pmramot loouliezm` rmturo ho dlrneo (=2,222 ‑ 62,222) /<,

22,222 4 2.1 x <22 4 12%).

Eo ahotrlst, imt us ihhg lt tjm RVHD hc tjes strltmny;

• L`kustm` Oudfmr hc êos 4 =2 ‑ Qqrt (=2) 4 01

• L`kustm` Oudfmr hc Ihssms 4 =2 + Qqrt (=2) 4 =>

• L`kustm` Loouli Nrhss Rrhcet 4 (=2,222/=2) x 01 4 06,565

• L`kustm` Loouli Nrhss Ihss 4 (62,222/=2 x => 4 66,:6:

• RVHD 4 (06,565 - 66,:6:) / <, 22,222 4 $62,<2<

• RVHD 4 62.< pmramot pmr ymlr.

Ls yhu whui` ohtm, tjm omlrmst enets jlvm fmmo rhuo`m` hcc eo tjm lfhvm aliauiltehos.

7/21/2019 SPY Quant v 0.01


Pjes mxldpim aimlriy `mdhostrltms wjy tjes dmlsurm es tmrdm` pmssedestea. Et lssudms tjlt

l trlèon systmd weii omvmr weo ls crmqumotiy eo rmli iecm ls et jl` eo tmsteon lo` lish tjlt

tjm systmd weii ihsm dhrm crmqumotiy eo rmli iecm tjlo et è` eo ets tmsteon. RVHD es l rhfust

dmlsurm fmalusm et clathrs eo l oudfmr hc senoecealot pmrchrdloam stltesteas, suaj ls nrhss

prhcet, lvmrlnm weo, nrhss ihss, lvmrlnm ihss, oudfmr hc weos, lo` oudfmr hc ihssms. Lish,

RVHD fy olturm hc tjm squlrm-rhht aliauilteho pmoliezms sdlii trl`m sldpims7 tjlt es, tjm

squlrm rhht hc 0 es 6 wjeaj =2%, wjmrmls tjm squlrm rhht hc <22 es <2, wjeaj es <2%.

RVHD es lo mxamiimot dmlsurm th ahdplrm tjm pmrchrdloam hc èccmrmot trlèon dh`mis7 et

es sunnmstm` tjlt l trlèon dh`mi―s RVHD fm lt imlst =2% hc tjm jesthreali rmturos.

Vmturo ho Laahuot; wm jlvm usm` tjm stlrteon alpetli hc $<3>22 lo` tlgmo tjm thtli omt

prhcet ls tjm flses chr aliauilteon tjm rmturo ho laahuot.

Chr mx; ec l trlèon strltmny―s omt prhcet es 62 $QRU pheots, tjmo tjm rmturo ho laahuot es

<<.5%

Pjm rlteholim chr $<3>22 - tjm jenjmst l`kustm` aihseon vlium hc $QRU ùreon Klo 6222 teii

Kuom 62<1 es <33.65 (ho Dly 6<, 62<1) lo` E―vm ahose`mrm` tjm omlrmst ènet wjeaj es <3>. Qh

wetj $<3>22 l trl`mr alo fuy/smii <22 uoets hc $QRU, wetjhut imvmrlnm ho lidhst lii tjm

trlèon `lys ùreon hur tmst pmreh`.

Rs; Uhu denjt lrnum tjlt <3>22 vlium jls ihhg ljml` fels, chr wjeaj dy ahuotmr lrnudmot

whui` fm E prmcmr th usm tjm gohwo dlx/mxtrmdm vliums ùreon tjm tmst pmreh` mvmo tjhunj

tjmy lrm lppmlreon lt tjm mo` ayaim eo tjm tmst pmreh`.

Ahdphuo`m` Loouli Vmturo %; Pjm ahdphuo` loouli nrhwtj rltm es aliauiltm` fytlgeon tjm otj rhht hc tjm thtli pmramotlnm nrhwtj rltm, wjmrm o es tjm oudfmr hc ymlrs eo

tjm pmreh` fmeon ahose`mrm`. Pjes alo fm wrettmo ls chiihws;

ps; wjmo aliauilteon tjm ALNV eo tjm flagtmsteon pmrchrdloam suddlry rmphrts tjlt wm

lrm prmsmoteon eo tjes fhhg, tjm chiihweon dmtjh`hihny es usm`

• Fmneooeon vlium; $<3>22

• Moèon vlium; $<3>22 pius tjm thtli omt prhcet eo pheots nmomrltm` fy tjm trlèon

strltmny

• #hc ymlrs; es tjm èccmrmoam fmtwmmo tjm cerst `ltm wjmo tjm trlèon strltmny

trennmrm` ets cerst trl`m deous tjm ilst `ltm wjmo tjm trlèon strltmny trennmrm` ets

ilst trl`m lpprhxedltm` eo ymlrs th tjm <st `maedli

Alidlr Vlteh; L rlteh usm` th `mtmrdeom rmturo rmiltevm th `rlw`hwo (`hwose`m) resg eo l

trlèon strltmny, lo` es aliauiltm` ls; ALNV/Dlxedud @rlw`hwo %. Pjm jenjmr tjm

7/21/2019 SPY Quant v 0.01


Alidlr rlteh tjm fmttmr. Pjes rlteh jmips `mtmrdeom rmturo ho l `hwose`m resg-l`kustm`

flses.

P-Pmst; Pjm t-Pmst es l sedpim stltesteali tmst tjlt tmiis yhu jhw iegmiy tjmsm tmst rmsuits lrm

th jlvm haaurrm` fy ajloam lihom. L t-Pmst hc imss tjlo <.3 clvhurs ajloam, lfhvm <.3 lo`

hom es dhrm iegmiy th jlvm chuo` shdmtjeon rmli - l trl`lfim Gmy E`ml. Pjm jenjmr tjm sahrmnevmo (hvmr lt imlst 62 sldpim sezm) tjm dhrm iegmiy hom jls chuo` l trl`lfim jesthry.

Pjm t-tmst es aliauiltm` ls

t -tmst4 squlrm rhht (o) * (lvmrlnm trl`m %/ stlo`lr` `mvelteho hc trl`ms %)

L dhrm streonmot t-tmst vlium th ihhg chr es 6.< chr `mnrmms hc crmm`hd 6= (hr sldpim sezm).

Ls tjm twh tleim` R vlium lt t-tmst hc 6.< chr l sldpim sezm hc 6= mqulis 2.203 wjeaj fy

ahovmoteholi aretmrel, es ahose`mrm` th fm stltestealiiy senoecealot.

Dhst hc tjm trlèon strltmnems prmsmotm` eo tjes fhhg try th dmmt tjm chiihweon aretmrel eotjm jesthreali flagtmst pmrchrdloam suddlry rmphrt

• Hutiemr l`kustm` prhcet clathr es dhrm tjlo 6.2 lo`

• Lvmrlnm prhcet pmr trl`m hc lrhuo` <2 pheots ( imlveon lse`m 0 pheots ls l sprml`

trlèon ahsts , l 3 pheot prhcet pmr trl`m ls tjm trlèon m`nm)

• Qjlrpm Vlteh hc lrhuo` 2.= lo`

• P-Pmst es dhrm tjlo <.3

Uhu alo `hwoihl` tjm mxami sjmmt tjlt E―vm usm` th flagtmst tjm trlèon strltmnems

prmsmotm` eo tjes fhhg B jttp;//plststlt.ahd/fihn/spy-qulot-flag-tmsteon-mxami-sjmmt

http://paststat.com/blog/spy-quant-back-testing-excel-sheet




7/21/2019 SPY Quant v 0.01


Flagtmst pmrchrdloam suddlry hc fuyeon QRU mvmry ly lt aihsm lo` mxeteon omxt

`ly lt aihsm

Pjm chiihweon flagtmst pmrchrdloam suddlry rmphrt es nevmo ls rmcmrmoam th ahdplrm tjm

dmtreas hc htjmr trlèon strltmnems th tjlt hc fuy-jhi` lpprhlaj. Ihhg flag pmreh` es crhd<st Klo 6225 teii 6:tj Kuo 62<1. (Pjm rlteholim, fmeon E whui` iegm th smm dhrm tjlo <222

ahoteouhus sldpim sezm crhd tjm rmamot `ltl).

Flagtmst Rmrchrdloam Quddlry

Phtli Omt Rrhcet >=.:3 Phtli Omt Rrhcet % >6.5>%

Nrhss prhcet =>5.= Nrhss Ihss -=21.30

# Prl`ms <<65 % Rrhcetlfim Prl`ms =3.22

# êo Prl`ms 316 # Ihss Prl`ms 056

Rrhcet clathr <.<= Hutiemr L`kustm` Rrhcet Clathr <.<0

Lvmrlnm Rrhcet Rmr Prl`m 2.2> Lvmrlnm Rrhcet Rmr Prl`m % 2.23%

Dmèlo Prl`m 2.< Dmèlo Prl`m % 2.2:%

Lvmrlnm eo Prl`m 2.56 Lvmrlnm Ihss Prl`m -<.26

Lvmrlnm êo Prl`m % 2.:1% Lvmrlnm Ihss Prl`m % -2.56%

Vlteh lvn weo/lvn ihss 2.52 Vlteh lvn weo/lvn ihss % 2.52

Dlx Ahosmautevm êos <0 Dlx Ahosmautevm Ihssms >

Dlx êo Prl`m =.20 Dlx Ihss Prl`m ->.05

Dlx êo Prl`m % >.<>% Dlx Ihss Prl`m % -3.=<%

Dlx @rlw`hwo ($) -6062 Dlx @rlw`hwo % -<1.>:%

Laahuot Qezm ($) <3>22 Vmturo ho Laahuot 0=.02%

Rmssedestea Vltm hc Vmturo <:.22% ALNV :.><%

Iuag Clathr :.=5 Vmahvmry Clathr 1.<1

Qjlrpm Vlteh 2.30 Alidlr Vlteh 2.31

P-Pmst <.>1

7/21/2019 SPY Quant v 0.01


^jy oh sthp ihss8

Pjm predlry rmlsho chr tjes, tjes fhhg alo―t lat iegm ls ec et es ruooeon dmajloeali trlèon

fuseomss chr yhu. ^m `ho―t cmmi et es lpprhpreltm th sunnmst Qthp Ihssms wetjhut

uo`mrstloèon shdmhom―s ceoloaeli setulteho lo` resg thimrloam, chr mxldpim l ihss hc <22

]Q@ denjt fhtjmr yhu ho shdm `ly , wjmrm ls l ihss hc <22,222 ]Q@ denjt oht fhtjmrshdm htjmr trl`mr shdm htjmr `ly.

Qhdm l`vloam` rmsmlraj mve`moam ho Qthp Ihss

<.

Crhd Fruam Slosthom. "@h eoeteli sthp-ihssms sthp ihssms8" Eochrdlteho Pmajohihny

plpmrs (622:). Lvleilfim lt; jttp;//whrgs.fmprmss.ahd/fruamXvlosthom/<=

L nrmlt dloy trl`mrs usm sthp-ihss ruims eo tjmer mvmry`ly trlèon. Eo

l`èteho, ùreon pmreh`s hc jenj vhilteiety, dloy trl`mrs lttmdpt th prhtmat

tjmer `hwose`m fy dhveon tjmer sthps aihsmr th tjm pream lateho. Jhwmvmr,tjmrm lppmlrs th fm iettim rmli kustecealteho chr `heon tjes. Pjmrm es l sjhrtlnm

hc mve`moam tjlt `mdhostrltms tjlt sthps lrm latuliiy prhveèon tjm fmomcets

tjlt trl`mrs fmiemvm tjmy lrm. Pjes plpmr es lo mdpereali stu`y hc tjm usm hc

sthps wetjeo l `mceom` trlèon strltmny. Pjm dmtjh`hihny usm` wetjeo tjes

plpmr alo mlseiy fm phrtm` th loy eoèveùli trl`mrs― strltmny. Eo tjm spmaecea

alsm stuèm` eo tjes plpmr, tjm rmsuits sunnmst tjlt eoeteli sthps `mnrl`m

ihon-tmrd phrtchieh pmrchrdloam.

6. Plfim lfhut Qthp Ihssms lo` eoeteli trlèon rmsuits, mxamrptm` crhd tjm fhhg ’Qjhrt

Pmrd Prlèon Qtrltmnems Pjlt ^hrg— , fy Ilrry Ahoohrs lo` Amslr Livlrmz

Ls yhu alo smm tjm rmsuits eoèaltm tjlt oh fmomcet jls fmmo hftleom` crhd loy hc tjm

pmramot flsm` sthp ahdfeoltehos.

http://works.bepress.com/bruce_vanstone/15




7/21/2019 SPY Quant v 0.01


Edphrtlot ohtms;

E jltm th jmlr tjm whr` ’dlrneo trlèon—, wm èsiegm sthp ihssms, lo` wm `ho―t iegm th jmlr

tmrd ahdphuoèon tjm rmturos crhd eoèveùli trl`ms, ls Lifmrt Meostmeo quhtm` et ls

menjtj who`mr hc tjm whri`.

^jy oh ahdphuoèon8

Lssudm l rltm hc rmturo hc <% pmr `ly, chr tjm slgm hc eiiustrlteho, lo` ec et ahui` fm

sustleom`, $<222 whui` fmahdm <<.:1 treiieho `hiilrs eo 5 ymlrs lo` 1 dhotjs― tedm

(lssudeon 6=6 trlèon `lys eo ymlr) , wjeaj es succeaemot mohunj th aimlr tjm moterm ]Q

pufiea `mft , tjlt sthh` lt <<.53 treiieho ls ho Lpr 6, 62<1 !!

Qjhui` tjm trlèon systmds prmsmotm` eo tjes fhhg whrg ho htjmr eostrudmots8

Oht omamsslreiy. Dloy suaamsscui trlèon systmds lrm `msenom` chr l seonim dlrgmt, l seonim

teagmr - wjmtjmr tjlt dlrgmt es Q&R =22, Vussmii 622, trmlsury fho`s, hr phrg fmiiems. Ec tjmtrlèon systmd plssms, l trl`lfim m`nm eo hom dlrgmt, tjmrm es oh rmlsho th eosest tjlt tjm

sldm trlèon dh`mi trl`m duitepim dlrgmts. Ec l dh`mi trl`ms QRU wmii, tjmrm es oh rmlsho

th eosest tjlt et whrg ho nhi`, hei, hr ahro. Qedeilriy yhu alo't mxpmat l dh`mi whrgeon ho

jmlitjalrm sthags th whrg ho tmajohihny, hr flogeon sthag.

7/21/2019 SPY Quant v 0.01


@ltl shurams lo` @ltl OhrdliezltehoE―vm rmiem` upho ceoloam.yljhh.ahd chr $QRU jesthreali pream ls tjm jesthreali `ltl shurams.

Ohrdliezeon @ltl chr eve`mo`s

]o`mrstloèon tjm l`kustm` aihsm; L`kustm` Aihsm prhve`ms tjm aihseon pream chr tjmrmqumstm` `ly, wmmg, hr dhotj, l`kustm` chr lii lppiealfim spiets lo` ève`mo`

èstrefutehos. @ltl lrm l`kustm` useon lpprhpreltm spiet lo` ève`mo` duitepiemrs, l`jmreon

th Amotmr chr Vmsmlraj eo Qmaurety Rreams (AVQR) stlo`lr`s.

Pjm prhamss hc ohrdliezeon tjm `ltl es sedpiy th tlgm tjm rlteh fmtwmmo tjm sthag―s ’L`k.

Aihsm— th ’Aihsm— lo` lppiy et th lii cemi`s ‑ tjlt es tjm rlw Hpmo, Jenj, Ihw, Aihsm lo`

Shiudm.

Ahose`mr tjm chiihweon hutput crhd Uljhh―s jesthreali `ltlflsm

@ltm Hpmo Jenj Ihw Aihsm Shiudm L`k Aihsm

Kuo 60, 62<1 <=>.0< <=:.01 <==.>1 <=>.23 66,61,65,222 <=>.23

Kuo 6<, 62<1 <=5.30 <=5.>3 <=>.0> <=5.2> 6>,<5,=3,:22 <=5.2>

Kuo 6<, 62<1 2.:15 @eve`mo`

Kuo 62, 62<1 <3<.:3 <31.0> <=:.5: <=5.0 16,<6,==,522 <=:.=3

Kuo <5, 62<1 <3=.3 <3=.:5 <31.1: <31.0= 62,3<,05,=22 <36.=5

Kuo <:, 62<1 <30.=1 <3=.55 <30.=6 <3=.>0 <<,03,5=,322 <30.:>

Chr mlaj motry hc mlaj rhw (fmse`ms vhiudm) wm duitepiy fy tjm rlteh hc tjlt rhw―s

L`kustm` Aihsm th Aihsm. Chr tjm vhiudm cemi` wm duitepiy fy Aihsm th L`kustm` Aihsm rlteh.

Rs; Et `hmso―t dlttmr mvmo ec yhu `ho―t ohrdliezm tjm vhiudm cemi`, mvmo ec hur trlèon strltmny

eoaiu`ms vhiudm.

^m nmt tjm mccmatevm jesthreali preams, eoaiuèon tjm ohrdliezm` vhiudm

@ltm Hpmo Jenj Ihw Aihsm Shiudm

Kuo 60, 62<1 <=>.0< <=:.01 <==.>1 <=>.23 66,61,65,222

Kuo 6<, 62<1 <=5.30 <=5.>3 <=>.0> <=5.2> 6>,<5,=3,:22

Kuo 62, 62<1 <3<.2< <36.3< <=:.<0 <=:.=3 16,65,=>,:<<

Kuo <5, 62<1 <30.>1 <3=.26 <36.=6 <36.=5 62,>6,15,521

Kuo <:, 62<1 <31.3> <3=.<6 <31.33 <30.:> <<,=1,22,:1=

Rs; ec yhu lrm rmpiealteon tjm trlèon strltmnems prmsmotm` eo tjes fhhg lctmr Qmp 62, 62<1 (e.m.

tjm omxt mx-èv `ltm chr $QRU), tjm Hpmo, Jenj, Ihw, Aihsm, lo` Shiudm cemi`s weii èccmr.

7/21/2019 SPY Quant v 0.01


@ltl QldpimPjrhunjhut tjes fhhg, tjm `ltl tjlt ajhsmo chr tmsteon trlèon strltmnems es, fmtwmmo tjm

Kloulry 6222 lo` Kuom 62<1. E cerdiy fmiemvm tjlt tjes sldpim `ltl es lo laaurltm lo`

ahdprmjmosevm rmprmsmotlteho, wjlt wetj dloy sh dloy Filag Qwlo mvmots eoaiu`m` eo

tjm dlrgmt dhvmdmots. Pjmrmchrm tjm sldpim `ltl es l rmlsholfiy trum derrhr hc fhtj tjmplst lo` wjlt tjm cuturm dly wetomss.

Chr shdm hc tjm trlèon strltmnems th nmt succeaemot sldpim sezm, E denjt nh flag fmyho`

6222. ]oimss hr htjmrwesm dmotehom` uo`mr tjm trlèon strltmny, tjm `ltl sldpim rmdleos

crhd Klo 6222 th Kuom 62<1.

7/21/2019 SPY Quant v 0.01


% RilysPjes ajlptmr leds lt rmvmlieon cmw QRU sjhrt tmrd trlèon strltmnems flsm` ho vlrehus

pmramot ajlonms ahdfeom` wetj htjmr aretmrel.

0% arlsj ho QRUPjes es l sedpim qumsteho tjlt ahdms th loyhom―s deo`, imt―s stlrt wetj et

Prlèon strltmny ruims

• QRU es `hwo fy dhrm tjlo 0% ùreon aurrmot trlèon smsseho

• Nh ihon lt aihsm lo` mxet lt aihsm ùreon tjm omxt trlèon `ly.

Mxldpim trl`m

Ho <:tj Lun 62<< QRU `rhppm` fy -0.1<% lo` tjm trl`m hutahdm chr tjm Ihon motmrm` ho

<:tj Lun 62<1 aihsm lo` mxeteon ho <5tj Lun 62<1 wls l -<.>5, pheots ihss hr -<.31%


Phtli Omt Rrhcet 66.13 Phtli Omt Rrhcet % 61.51%

Nrhss prhcet 0>.>3 Nrhss Ihss -6=.0

# Prl`ms 65 % Rrhcetlfim Prl`ms =5.22

# êo Prl`ms <> # Ihss Prl`ms <6

Rrhcet clathr <.:: Hutiemr L`kustm` Rrhcet Clathr <.3:

Lvmrlnm Rrhcet Rmr Prl`m 2.>> Lvmrlnm Rrhcet Rmr Prl`m % 2.:1%

Dmèlo Prl`m 2.5= Dmèlo Prl`m % <.<3%

Lvmrlnm eo Prl`m 6.:< Lvmrlnm Ihss Prl`m -6.<6

Lvmrlnm êo Prl`m % 1.<5% Lvmrlnm Ihss Prl`m % -6.=6%

Vlteh lvn weo/lvn ihss <.11 Vlteh lvn weo/lvn ihss % <.63

Dlx Ahosmautevm eos 0 Dlx Ahosmautevm Ihssms 1

Dlx êo Prl`m =.22 Dlx Ihss Prl`m -=.03

Dlx êo Prl`m % 3.60% Dlx Ihss Prl`m % ->.06%

Dlx @rlw`hwo ($) -<<>3 Dlx @rlw`hwo % -3.05%

Laahuot Qezm ($) <3>22 Vmturo ho Laahuot <1.02%

Rmssedestea Vltm hc Vmturo 6.<2% ALNV <.<<%

Iuag Clathr <.53 Vmahvmry Clathr <.52

Qjlrpm Vlteh 2.3= Alidlr Vlteh 2.<>

P-Pmst <.12

7/21/2019 SPY Quant v 0.01


Jesthreali trl`m mtleis

@ltm Aihsm Ihss R/I R/I %

<:-Lun-<< <25.3: -0.1< -<.>5 -<.31

<2-Lun-<< <2>.== -0.06 0.:1 0.05

2:-Lun-<< <2>.=6 -3.=< = 0.3=

20-Lun-<< <<=.<: -0.3: -2.<> -2.<=

62-Lpr-25 >3.01 -0.6 <.= <.53

2=-Dlr-25 36.=: -0.25 2.<< 2.<:

26-Dlr-25 30.66 -0.=< -2.0: -2.>=

<>-Cmf-25 >6.23 -0.6: -2.<> -2.60

<2-Cmf-25 >=.3 -0.=: 2.00 2.=:

62-Klo-25 >1.65 -=.6> 1.<3 0.1<

2<-@ma-2: >0.25 -:.:3 6.:= 1.:=

62-Ohv-2: 3:.2: ->.06 1.3> =.15

<5-Ohv-2: >1.=0 -3.0 -=.03 ->.06

<0-Ohv-2: >:.<3 -0.5: -<.20 -<.11

<6-Ohv-2: >>.01 -0.0< 0.:1 3.60

23-Ohv-2: :<.5: -=.=0 6.>< 1.1<

2=-Ohv-2: :3.>5 -0.6< -0.:< -=.=0

60-Hat-2: >:.=0 -=.23 -6.>5 -1.==

66-Hat-2: :<.>: -=.0= 2.5= <.<3

<=-Hat-2: :<.66 -5.:= 1.15 0.<>

25-Hat-2: :<.:0 -3.5: -<.55 -6.01

2>-Hat-2: 52.63 -0.0: -6.6: -6.=1

23-Hat-2: 50.05 -=.25 -0.61 -0.0:

65-Qmp-2: <22.= ->.:1 0.<3 0.<0

<>-Qmp-2: <20.3< -0.= 1.< 6.53

<=-Qmp-2: <2>.>1 -0.>3 <.:< <.3:

<>-Qmp-2< :6.:< -=.61 -2.<5 -2.61

<6-Dlr-2< 51.60 -0.6: <.=1 <.30

<0-Lpr-22 <23.=: -=.>6 1.>6 1.05

7/21/2019 SPY Quant v 0.01


0% rliiy ho QRUQyddmtreali trlèon systmd ohtm

L syddmtreali trlèon systmd es wjlt l prhcmsseholi trl`mr ihvm th trl`m. Eo ilydlo's

tmrds, tjes dmlos tjlt sedpiy rmvmrseon tjm ruims chr fuyeon lo` smiieon armltms l prhcetlfim

rmsuit ho fhtj ihons lo` sjhrts. Pjes typm hc plttmro alrrems nrmlt vlium th tjm prhcmsseholi

trl`mr. Pjm vlium `mrevms crhd tjm clat tjlt syddmtry alo eoèaltm l alusm lo` mccmat

rmiltehosjep fmtwmmo l stltesteali pjmohdmoho lo` ets hutahdm.

Deo` yhu, et es ècceauit th ceo` syddmtreali trlèon strltmnems, sjhui` yhu ceo` hom,

ahose`mr yhursmic iuagy lo` trl`m tjmd wetj utdhst ahoce`moam.


• QRU nleos dhrm tjlo 0% ùreon aurrmot trlèon smsseho

• Nh sjhrt lt aihsm lo` fuy th ahvmr lt aihsm ùreon tjm omxt trlèon `ly.

Mxldpim trl`m

Ho 12tj Ohv 62<< QRU nleom` fy 0.<<% lo` tjm trl`m hutahdm chr nheon sjhrt lo` fuyeon th

ahvmr tjm omxt trlèon `ly lt aihsm wls l 2.26, pheots nleo hr 2.26%


Phtli Omt Rrhcet <:.=: Phtli Omt Rrhcet % <5.2=%

Nrhss prhcet 6>.:6 Nrhss Ihss -5.60

# Prl`ms 63 % Rrhcetlfim Prl`ms 3=.22

# êo Prl`ms <> # Ihss Prl`ms 5

Rrhcet clathr 1.2< Hutiemr L`kustm` Rrhcet Clathr 6.0>

Lvmrlnm Rrhcet Rmr Prl`m 2.>< Lvmrlnm Rrhcet Rmr Prl`m % 2.>1%

Dmèlo Prl`m -2.=5 Dmèlo Prl`m % -2.>:%

Lvmrlnm eo Prl`m <.30 Lvmrlnm Ihss Prl`m -<.21

Lvmrlnm êo Prl`m % <.:6% Lvmrlnm Ihss Prl`m % -<.16%

Vlteh lvn weo/lvn ihss <.=5 Vlteh lvn weo/lvn ihss % <.1:

Dlx Ahosmautevm eos = Dlx Ahosmautevm Ihssms 6

Dlx êo Prl`m 0.5> Dlx Ihss Prl`m -0.5>

Dlx êo Prl`m % 0.5:% Dlx Ihss Prl`m % -3.51%

Dlx @rlw`hwo ($) -==0 Dlx @rlw`hwo % -1.26%

Laahuot Qezm ($) <3>22 Vmturo ho Laahuot <<.<2%

Rmssedestea Vltm hc Vmturo =.62% ALNV 2.:5%

Iuag Clathr 6.>0 Vmahvmry Clathr 1.1=

Qjlrpm Vlteh 2.33 Alidlr Vlteh 2.12

P-Pmst -<.>2

7/21/2019 SPY Quant v 0.01



@ltm Aihsm Nleo R/I R/I %

12-Ohv-<< <62.11 0.<< 2.26 2.26

<<-Lun-<< <<6.1: 0.05 -2.>= -2.3>

25-Lun-<< <<6.=6 0.3= 0.5> 0.06

<2-Dly-<2 <2:.== 0.0< 2.1< 2.65

61-Dlr-25 >=.16 >.<> <.0: <.53

<2-Dlr-25 3=.3= =.5> -2.06 -2.30

6<-Klo-25 >3.0= 0.1< <.<: <.=0

<3-@ma-2: :6.5 0.> 2.: 2.5>

60-Ohv-2: >3.>6 3.51 -2.=> -2.>0

6<-Ohv-2: ><.>= =.15 -0.5> -3.51

<1-Ohv-2: :6.63 3.60 0.< 0.5:

6:-Hat-2: :0.3 <<.3: 2.36 2.>1

62-Hat-2: :5.<3 3.26 6.3> 6.55

<3-Hat-2: :0.3< 0.<> 2.=< 2.3

<1-Hat-2: 5<.0= <0.=1 <.13 <.05

12-Qmp-2: <20.33 0.<0 -2.23 -2.23

<:-Dlr-2: <<:.35 0.<= 6.50 6.0:

<=-Hat-26 ><.>< 0.:< <.>0 6.01

<<-Hat-26 3:.20 0.15 -2.1: -2.=3

2<-Hat-26 35.1 0.:< 6.2: 1

65-Kui-26 >6.6= 0.:: -2.50 -<.1

60-Kui-26 3:.<: =.5= 2.=> 2.:0

21-Klo-2< <23.3 0.:< <.<= <.2:

6=-Lpr-22 <<3.<< 0.<= <.16 <.<0

<3-Dlr-22 <<0.15 0.3> -2.>3 -2.33

2>-Klo-22 <<1.51 =.: -2.15 -2.10

7/21/2019 SPY Quant v 0.01


Dho`ly 6% èps ho QRU


•

QRU cliis fy dhrm tjlo 6% ùreon aurrmot trlèon smsseho• Ph`ly es Dho`ly


Mxldpim trl`m

Ho <=tj Lpr 62<1, wjeaj wls l Dho`ly, QRU `rhppm` fy -6.16%, lo` tjm trl`m hutahdm hc

nheon ihon lt aihsm lo` mxeteon lt tjm aihsm lt omxt trlèon `ly wls 6.6: pheots nleo hr

<.0:%

Flagtmst pmrchrdloam suddlry

Phtli Omt Rrhcet 60.=> Phtli Omt Rrhcet % 65.><%

Nrhss prhcet 01.35 Nrhss Ihss -<5.<6

# Prl`ms 1= % Rrhcetlfim Prl`ms 33.22

# êo Prl`ms 61 # Ihss Prl`ms <6

Rrhcet clathr 6.65 Hutiemr L`kustm` Rrhcet Clathr <.:6

Lvmrlnm Rrhcet Rmr Prl`m2.>2

Lvmrlnm Rrhcet Rmr Prl`m %2.:=%

Dmèlo Prl`m 2.3: Dmèlo Prl`m % 2.51%

Lvmrlnm eo Prl`m <.5 Lvmrlnm Ihss Prl`m -<.=5

Lvmrlnm êo Prl`m % 6.62% Lvmrlnm Ihss Prl`m % -<.>=%

Vlteh lvn weo/lvn ihss <.<5 Vlteh lvn weo/lvn ihss % <.63

Dlx Ahosmautevm êos 0 Dlx Ahosmautevm Ihssms 0

Dlx êo Prl`m :.:= Dlx Ihss Prl`m -0.61

Dlx êo Prl`m % <<.3:% Dlx Ihss Prl`m % -0.0:%

Dlx @rlw`hwo ($) -31: Dlx @rlw`hwo % -1.>3%

Laahuot Qezm ($) <3>22 Vmturo ho Laahuot <0.>2%

Rmssedestea Vltm hc Vmturo 3.22% ALNV <.20%

Iuag Clathr =.12 Vmahvmry Clathr 1.:=

Qjlrpm Vlteh 2.=6 Alidlr Vlteh 2.6:

P-Pmst <.>5

7/21/2019 SPY Quant v 0.01



@ltm Aihsm Ihss R/I R/I %

<=-Lpr-<1 <=0.1 -6.16 6.6: <.0:

1<-Hat-<< <62.:6 -6.0< -1.1> -6.>5

21-Hat-<< <2=.:1 -6.:= 6.16 6.<5

2:-Lun-<< <2>.=6 -3.=< = 0.3=

<>-Lun-25 52.=> -6.0> 2.>6 2.>5

66-Kuo-25 :6.6= -1.2< 2.2> 2.25

<=-Kuo-25 :=.<< -6.6: -<.<3 -<.13

62-Lpr-25 >3.01 -0.6 <.= <.53

12-Dlr-25 >6.<: -1.0= 2.3> 2.51

26-Dlr-25 30.66 -0.=< -2.0: -2.>=

61-Cmf-25 3>.5 -1.=: 6.=: 1.:

<6-Klo-25 >5.25 -6.0< 2.<= 2.<5

2<-@ma-2: >0.25 -:.:3 6.:= 1.:=

6>-Hat-2: >=.>= -1.== :.:= <<.3:

23-Hat-2: 50.05 -=.25 -0.61 -0.0:

65-Qmp-2: <22.= ->.:1 0.<3 0.<0

66-Qmp-2: <25.03 -6.63 -6.05 -6.6>

<=-Qmp-2: <2>.>1 -0.>3 <.:< <.3:

6=-Lun-2: <<1.5= -6.21 2.11 2.65

63-Ohv-2> <60.=0 -6.6< <.01 <.<=

<5-Dly-21 >=.=> -6.10 -2.<= -2.6

1<-Dlr-21 35.<6 -6.6: <.23 <.=1

60-Dlr-21 >2.>< -1.16 2.3: 2.53

<2-Dlr-21 33.23 -6.0< -2.3= -2.5:

25-@ma-26 >6.1= -6.>3 2.5> <.10

2>-Hat-26 31.5> -6.2> < <.=3

2=-Lun-26 3>.06 -1.0: 6.6> 1.1>

66-Kui-26 33.<3 -6.53 -<.:< -6.>0

21-Kuo-26 :1.>< -6.3= 2.6< 2.6=

20-Cmf-26 :>.:= -6.05 -2.=0 -2.3<

65-Hat-2< :=.30 -6.=5 -<.21 -<.6

<>-Qmp-2< :6.:< -=.61 -2.<5 -2.61

26-Lpr-2< 52.06 -6.<1 -1.26 -1.10

<6-Dlr-2< 51.60 -0.6: <.=1 <.30

60-Klo-22 <25.> -6.:0 <.6= <.<0

7/21/2019 SPY Quant v 0.01


Dho`ly 6% èps ho QRU ‑ Slrelot


•

QRU cliis fy dhrm tjlo 6% ùreon aurrmot trlèon smsseho•

Ph`ly es Dho`ly

•

Nh ihon lt aihsm lo` mxet lt aihsm lctmr 0 trlèon `lys

Mxldpim trl`m

Ho <=tj Lpr 62<1 , wjeaj wls l Dho`ly, QRU `rhppm` fy -6.16%, lo` tjm trl`m hutahdm hc

nheon ihon lt aihsm ho <=tj Lpr 62<1 lo` mxeteon ho <5tj Lpr 62<1 lt aihsm wls 2.13 pheots

nleo hr 2.61%


Phtli Omt Rrhcet 01.15 Phtli Omt Rrhcet % =3.22%

Nrhss prhcet >3.61 Nrhss Ihss -16.:0

# Prl`ms 1= % Rrhcetlfim Prl`ms 32.22

# êo Prl`ms 6< # Ihss Prl`ms <0

Rrhcet clathr 6.16 Hutiemr L`kustm` Rrhcet Clathr <.5>

Lvmrlnm Rrhcet Rmr Prl`m<.60

Lvmrlnm Rrhcet Rmr Prl`m %<.32%

Dmèlo Prl`m 2.5< Dmèlo Prl`m % <.62%

Lvmrlnm eo Prl`m 1.31 Lvmrlnm Ihss Prl`m -6.1=

Lvmrlnm êo Prl`m % 0.0<% Lvmrlnm Ihss Prl`m % -6.3<%

Vlteh lvn weo/lvn ihss <.== Vlteh lvn weo/lvn ihss % <.35

Dlx Ahosmautevm êos > Dlx Ahosmautevm Ihssms 0

Dlx êo Prl`m <<.36 Dlx Ihss Prl`m -<0.30

Dlx êo Prl`m % <=.10% Dlx Ihss Prl`m % -<=.05%

Dlx @rlw`hwo ($) -<322 Dlx @rlw`hwo % -:.=1%

Laahuot Qezm ($) <3>22 Vmturo ho Laahuot 63.22%

Rmssedestea Vltm hc Vmturo <2.:2% ALNV <.>3%

Iuag Clathr 1.0: Vmahvmry Clathr 6.><

Qjlrpm Vlteh 2.=> Alidlr Vlteh 2.6<

P-Pmst <.:5

7/21/2019 SPY Quant v 0.01



@ltm Motry @ltm Mxet R/I R/I %

<=-Lpr-<1 <=0.1 <5-Lpr-<1 <=0.> 2.13 2.61

1<-Hat-<< <62.:6 20-Ohv-<< <62.: -2.26 -2.26

21-Hat-<< <2=.:1 2>-Hat-<< <<<.0 =.=> =.63

2:-Lun-<< <2>.=6 <6-Lun-<< <<1.< =.3< =.66

<>-Lun-25 52.=> 6<-Lun-25 50.:> 0.1 0.>=

66-Kuo-25 :6.6= 63-Kuo-25 :0.3< 6.13 6.:>

<=-Kuo-25 :=.<< <5-Kuo-25 :0.: -2.1< -2.13

62-Lpr-25 >3.01 60-Lpr-25 >5.15 6.53 1.:>

12-Dlr-25 >6.<: 21-Lpr-25 >>.<5 =.2< 3.50

26-Dlr-25 30.66 23-Dlr-25 36.35 -<.=1 -6.1:

61-Cmf-25 3>.5 6>-Cmf-25 3>.6= -2.3= -2.53

<6-Klo-25 >5.25 <3-Klo-25 >>.1> -<.>6 -6.<>

2<-@ma-2: >0.25 2=-@ma-2: >5.10 =.6= >.25

6>-Hat-2: >=.>= 1<-Hat-2: :>.1> <<.36 <=.10

23-Hat-2: 50.05 <2-Hat-2: >5.:= -<0.3 -<=.=

65-Qmp-2: <22.= 21-Hat-2: 55.=3 -2.50 -2.50

66-Qmp-2: <25.03 63-Qmp-2: <25 -2.06 -2.1:

<=-Qmp-2: <2>.>1 <5-Qmp-2: <<6 0.63 1.5=

6=-Lun-2: <<1.5= 65-Lun-2: <<=.= <.=5 <.0

63-Ohv-2> <60.=0 12-Ohv-2> <1<.0 3.:< =.0>

<5-Dly-21 >=.=> 61-Dly-21 >3.0: 2.5< <.6

1<-Dlr-21 35.<6 20-Lpr-21 ><.53 6.:0 0.<<

60-Dlr-21 >2.>< 6:-Dlr-21 >2.>1 2.26 2.21

<2-Dlr-21 33.23 <0-Dlr-21 3:.1= 6.65 1.0>

25-@ma-26 >6.1= <1-@ma-26 >6.61 -2.<6 -2.<>

2>-Hat-26 31.5> <<-Hat-26 3:.20 0.2> 3.13

2=-Lun-26 3>.06 25-Lun-26 >1.0> 3.2= :.5>

66-Kui-26 33.<3 63-Kui-26 3:.:5 6.>1 0.<1

21-Kuo-26 :1.>< 2>-Kuo-26 :6.:: -2.:1 -2.55

20-Cmf-26 :>.:= 2:-Cmf-26 ::.20 2.<5 2.66

65-Hat-2< :=.30 26-Ohv-2< :>.2> <.01 <.3>

<>-Qmp-2< :6.:< 6<-Qmp-2< >>.=1 -=.6: -3.1:

26-Lpr-2< 52.06 23-Lpr-2< :5.> -2.>6 -2.:

<6-Dlr-2< 51.60 <3-Dlr-2< 5<.23 -6.<: -6.10

60-Klo-22 <25.> 6:-Klo-22 <23.6 -1.0: -1.<>

7/21/2019 SPY Quant v 0.01


0 `hwo `lys ho QRU lo` th`ly es Cre`lyOht mxlatiy pmramots lrm eovhivm`, fut E ihvm` tjm prhcet clathr lo` tjm weo pmramotlnm wetj

tjes trlèon strltmny


•

QRU es `hwo chr chur `lys eo rhw

• Ph`ly es Cre`ly

• Nh Ihon lt aihsm lo` mxet lt tjm aihsm omxt trlèon `ly

Mxldpim trl`m

Ho 6:tj @ma 62<6, wjeaj wls l Cre`ly, QRU wls `hwo chr chur `lys eo rhw, lo` tjm trl`m

hutahdm chr tjm ihon motmrm` lt aihsm ho 6:tj @ma 62<6 lo` mxeteon ho 1<st @ma 62<6 wls l

6.1= pheots nleo hr <.35%


Phtli Omt Rrhcet 1>.10 Phtli Omt Rrhcet % 1:.:6%

Nrhss prhcet 01.>= Nrhss Ihss -3.0<

# Prl`ms 6= % Rrhcetlfim Prl`ms >6.22

# êo Prl`ms <: # Ihss Prl`ms >

Rrhcet clathr 3.:1 Hutiemr L`kustm` Rrhcet Clathr =.26

Lvmrlnm Rrhcet Rmr Prl`m <.05 Lvmrlnm Rrhcet Rmr Prl`m % <.==%

Dmèlo Prl`m <.10 Dmèlo Prl`m % <.<=%

Lvmrlnm eo Prl`m 6.01 Lvmrlnm Ihss Prl`m -2.56

Lvmrlnm êo Prl`m % 6.==% Lvmrlnm Ihss Prl`m % -<.22%

Vlteh lvn weo/lvn ihss 6.3= Vlteh lvn weo/lvn ihss % 6.=0


Dlx êo Prl`m <<.32 Dlx Ihss Prl`m -6.=6

Dlx êo Prl`m % <0.=1% Dlx Ihss Prl`m % -1.=:%

Dlx @rlw`hwo ($) -6=6 Dlx @rlw`hwo % -<.10%


Rmssedestea Vltm hc Vmturo <0.>2% ALNV <.32%

Iuag Clathr =.>2 Vmahvmry Clathr <0.:6

Qjlrpm Vlteh 2.>1 Alidlr Vlteh <.62

P-Pmst 6.0>

7/21/2019 SPY Quant v 0.01



@ltm Aihsm R/I R/I %

6:-@ma-<6 <1:.3: 6.1= <.35

<:-Dly-<6 <63.6= 6.<> <.>6

6=-Ohv-<< <<6.2< 1.60 6.:5

65-Kui-<< <61.:> -2.=1 -2.01

<1-Lun-<2 <2<.> -2.2= -2.2=

12-Kui-<2 <21.=0 6.10 6.63

26-Kui-<2 5=.53 2.31 2.33

2>-Dly-<2 <21.5> 0.=: 0.0<

26-Hat-25 50.:> <.06 <.=

66-Dly-25 :<.== 6.25 6.=3

62-Cmf-25 >2.06 -6.=6 -1.=:

<2-Hat-2: >5.:= <<.3 <0.=1

<:-Klo-2: <<>.1 -<.<5 -<.2<

20-Klo-2: <6=.=6 -2.<< -2.25

21-Ohv-23 <<:.06 <.10 <.<1

25-Kuo-23 <2>.>3 -<.<3 -<.2:

23-Lun-20 ::.:= 2.<1 2.<=

2>-Cmf-21 3>.>> 2.0: 2.><

6<-Qmp-2< >>.=1 6.>1 1.=6

25-Cmf-2< <20.< <.6 <.<=

<=-@ma-22 <21.06 <.1: <.11

2<-@ma-22 <20.<6 2.:5 2.:=

<2-Ohv-22 <2>.3 -2.:= -2.>5

61-Kuo-22 <<1.0< <.03 <.65

<0-Lpr-22 <23.=: 1.>6 1.05

7/21/2019 SPY Quant v 0.01


0 `hwo `lys ho QRU lo` th`ly es Cre`ly - Slrelot


• QRU es `hwo chr chur `lys eo rhw

• Ph`ly es Cre`ly

•

Nh Ihon lt aihsm lo` mxet lt tjm aihsm twh trlèon `lys iltmr

Mxldpim trl`m

Ho 6:tj @ma 62<6, wjeaj wls l Cre`ly, QRU wls `hwo chr chur `lys eo rhw, lo` tjm trl`m

hutahdm chr tjm ihon motmrm` lt aihsm ho 6:tj @ma 62<6 lo` mxeteon ho 6o` Klo 62<1 wls l

=.5> pheots nleo hr 0.1%


Phtli Omt Rrhcet 05.>5 Phtli Omt Rrhcet % =<.6>%

Nrhss prhcet =:.>3 Nrhss Ihss -:.5>

# Prl`ms 6= % Rrhcetlfim Prl`ms :0.22

# êo Prl`ms 6< # Ihss Prl`ms 0

Rrhcet clathr 3.== Hutiemr L`kustm` Rrhcet Clathr =.0<

Lvmrlnm Rrhcet Rmr Prl`m <.55 Lvmrlnm Rrhcet Rmr Prl`m % 6.2=%

Dmèlo Prl`m <.: Dmèlo Prl`m % <.=6%

Lvmrlnm eo Prl`m 6.: Lvmrlnm Ihss Prl`m -6.60

Lvmrlnm êo Prl`m % 6.:2% Lvmrlnm Ihss Prl`m % -<.5<%

Vlteh lvn weo/lvn ihss <.6= Vlteh lvn weo/lvn ihss % <.0>

Dlx Ahosmautevm êos 5 Dlx Ahosmautevm Ihssms <

Dlx êo Prl`m <2.60 Dlx Ihss Prl`m -1.3:

Dlx êo Prl`m % <6.:6% Dlx Ihss Prl`m % -6.5>%

Dlx @rlw`hwo ($) -13: Dlx @rlw`hwo % -<.>3%

Laahuot Qezm ($) <3>22 Vmturo ho Laahuot 65.:2%

Rmssedestea Vltm hc Vmturo <5.=2% ALNV 6.2>%

Iuag Clathr 0.=> Vmahvmry Clathr <1.=1

Qjlrpm Vlteh 2.>: Alidlr Vlteh <.<:

P-Pmst 1.12

7/21/2019 SPY Quant v 0.01



@ltm Motry @ltm Mxet R/I R/I %

6:-@ma-<6 <1:.3: 26-Klo-<1 <00.> =.5> 0.1

<:-Dly-<6 <63.6= 66-Dly-<6 <6:.3 6.15 <.:5

6=-Ohv-<< <<6.2< 65-Ohv-<< <<=.3 1.=> 1.<5

65-Kui-<< <61.:> 26-Lun-<< <62.6 -1.3: -6.5>

<1-Lun-<2 <2<.> <>-Lun-<2 <26.5 <.6 <.<:

12-Kui-<2 <21.=0 21-Lun-<2 <2=.0 <.:1 <.>>

26-Kui-<2 5=.53 2>-Kui-<2 55.31 1.3> 1.:6

2>-Dly-<2 <21.5> <<-Dly-<2 <2:.6 0.6> 0.<<

26-Hat-25 50.:> 23-Hat-25 5>.3> 6.: 6.5=

66-Dly-25 :<.== 6>-Dly-25 :6.<= 2.3 2.>0

62-Cmf-25 >2.06 60-Cmf-25 >2.0: 2.23 2.25

<2-Hat-2: >5.:= <0-Hat-2: 52.25 <2.60 <6.:6

<:-Klo-2: <<>.1 61-Klo-2: <<:.5 <.3 <.13

20-Klo-2: <6=.=6 2:-Klo-2: <61.0 -6.<0 -<.>

21-Ohv-23 <<:.06 2>-Ohv-23 <62.6 <.: <.=6

25-Kuo-23 <2>.>3 <1-Kuo-23 <2=.0 -6.0 -6.61

23-Lun-20 ::.:= <2-Lun-20 52.<1 <.6: <.00

2>-Cmf-21 3>.>> <<-Cmf-21 3>.>: 2.2< 2.2<

6<-Qmp-2< >>.=1 6=-Qmp-2< :<.25 1.=3 0.=5

25-Cmf-2< <20.< <1-Cmf-2< <20.0 2.10 2.11

<=-@ma-22 <21.06 <5-@ma-22 <26.> -2.>= -2.>1

2<-@ma-22 <20.<6 2=-@ma-22 <2:.= 0.10 0.<>

<2-Ohv-22 <2>.3 <0-Ohv-22 <25.3 <.5> <.:1

61-Kuo-22 <<1.0< 6>-Kuo-22 <<0 2.36 2.==

<0-Lpr-22 <23.=: <:-Lpr-22 <<1.6 3.30 3.61

7/21/2019 SPY Quant v 0.01


1 `ly rliiy ho QRU lo` th`ly es Cre`ly


• QRU es up chr tjrmm `lys eo rhw

• QRU nleom` fy dhrm tjlo 2.=% eo lii tjhsm `lys

•

Ph`ly es Cre`ly

• Nh sjhrt lt aihsm lo` fuy th ahvmr lt tjm aihsm omxt trlèon `ly

Mxldpim trl`m

Pjes es geo` hc syddmtreali plttmro th tjm trlèon strltmny 0 `hwo `lys ho QRU lo` th`ly

es Cre`ly

Ho <3tj Qmp 62<<, wjeaj wls l Cre`ly, QRU nleom` 2.=5%, tjm prehr twh `lys, ls ho <=tj Qmp

62<<, lo` <0tj Qmp 62<<, QRU nleom` <.>6% lo` <.1:% rmspmatevmiy. Pjm trl`m hutahdm chr tjm

sjhrt motmrm` lt aihsm ho <3tj Qmp 62<< lo` mxeteon ho <5tj Qmp 62<< wls l <.5<pheots nleo hr

<.31%


Phtli Omt Rrhcet <5.61 Phtli Omt Rrhcet % 6<.1<%

Nrhss prhcet <5.1= Nrhss Ihss -2.<6

# Prl`ms <: % Rrhcetlfim Prl`ms :5.22

# êo Prl`ms <3 # Ihss Prl`ms 6

Rrhcet clathr <3<.6= Hutiemr L`kustm` Rrhcet Clathr <2<.6=

Lvmrlnm Rrhcet Rmr Prl`m <.2> Lvmrlnm Rrhcet Rmr Prl`m % <.<:%

Dmèlo Prl`m -2.=5 Dmèlo Prl`m % -2.=:%

Lvmrlnm eo Prl`m <.6< Lvmrlnm Ihss Prl`m -2.23

Lvmrlnm êo Prl`m % <.10% Lvmrlnm Ihss Prl`m % -2.23%

Vlteh lvn weo/lvn ihss 62.<3 Vlteh lvn weo/lvn ihss % 61.:=

Dlx Ahosmautevm êos > Dlx Ahosmautevm Ihssms <

Dlx êo Prl`m >.62 Dlx Ihss Prl`m -2.23

Dlx êo Prl`m % :.:3% Dlx Ihss Prl`m % -2.23%

Dlx @rlw`hwo ($) -3 Dlx @rlw`hwo % -2.21%

Laahuot Qezm ($) <3>22 Vmturo ho Laahuot <<.=2%

Rmssedestea Vltm hc Vmturo :.32% ALNV 2.5=%

Iuag Clathr 3.36 Vmahvmry Clathr 162.=2

Qjlrpm Vlteh 2.36 Alidlr Vlteh 6>.1>

P-Pmst -6.15

7/21/2019 SPY Quant v 0.01



@ltm Nleo t-< nleo t-6 nleo Aihsm R/I R/I %

<3-Qmp-<< 2.=5 <.>6 <.1: <<3.55 <.<3 2.55

2<-Kui-<< <.0: 2.53 2.:= <6:.6> 2.<< 2.25

21-Qmp-<2 <.65 2.51 6.55 <20.<6 <.<> <.<6

25-Kui-<2 2.>= 2.55 1.<= <2<.1> -2.23 -2.23

6<-Lun-25 <.5> <.21 2.:: 50.:> 2.2< 2.2<

<>-Lpr-25 2.3: <.03 <.2> >5.>: 1.1= 0.6

21-Lpr-25 2.55 6.56 <.50 >>.<5 2.3 2.>:

<1-Dlr-25 2.>> 1.5= 2.30 35.6< 2.6< 2.1

26-Klo-25 1.26 <.06 6.1: :0.=3 2.< 2.<6

6:-Ohv-2: <.63 1.:> 2.>0 :<.65 >.6 :.:3

<:-Kui-2: 2.36 <.2< 6.0= <<1.26 -2.23 -2.2=

<=-Kuo-2> 2.=: 2.30 <.= <10.3< 2.<3 2.<6

63-Dly-23 2.=< <.60 2.: <<2.1> <.53 <.>:

6=-Cmf-2= 2.55 2.3> 2.>< <26.<: 2.3> 2.33

2=-Ohv-20 2.31 <.13 <.63 5>.51 2.<0 2.<0

20-Klo-26 2.33 <.<0 <.2> 50.23 2.33 2.>

60-Dlr-22 2.=5 <.>6 2.3 <62.10 <.6> <.23

<>-Dlr-22 2.33 0.3> 6.11 <<=.<= 2.=: 2.=

7/21/2019 SPY Quant v 0.01


Dho`ly <% èps ùreon ihon tmrd uptrmo` ho QRU


• QRU es `hwo fy dhrm tjlo <% ùreon aurrmot trlèon smsseho

• QRU aihsm es lfhvm tjm 622 `ly dhveon lvmrlnm

•

Ph`ly es Dho`ly

• Nh ihon lt aihsm lo` mxet lt hpmo ùreon tjm omxt trlèon `ly.

Mxldpim trl`m

Ho 60tj Kuo 62<1, wjeaj wls l Dho`ly QRU aihsm` `hwo fy -<.63% lo` tjm aihsm <=>.2, es

lfhvm tjm 622 @DL vlium , <05.60, lo` tjm trl`m hutahdm chr tjm ihon motmrm` ho 60tj Kuo

62<1 lo` mxeteon ho 6=tj Kuo 62<1 hpmo wls l <.06 pheots nleo hr 2.5%


Phtli Omt Rrhcet <2.6: Phtli Omt Rrhcet % :.:>%

Nrhss prhcet <<.:1 Nrhss Ihss -<.==

# Prl`ms 11 % Rrhcetlfim Prl`ms >5.22

# êo Prl`ms 63 # Ihss Prl`ms >

Rrhcet clathr >.30 Hutiemr L`kustm` Rrhcet Clathr 3.00

Lvmrlnm Rrhcet Rmr Prl`m 2.1< Lvmrlnm Rrhcet Rmr Prl`m % 2.6>%

Dmèlo Prl`m 2.6 Dmèlo Prl`m % 2.66%

Lvmrlnm eo Prl`m 2.0= Lvmrlnm Ihss Prl`m -2.66

Lvmrlnm êo Prl`m % 2.15% Lvmrlnm Ihss Prl`m % -2.<5%

Vlteh lvn weo/lvn ihss 6.23 Vlteh lvn weo/lvn ihss % 6.2>

Dlx Ahosmautevm êos > Dlx Ahosmautevm Ihssms 1

Dlx êo Prl`m <.:3 Dlx Ihss Prl`m -2.=0

Dlx êo Prl`m % <.3>% Dlx Ihss Prl`m % -2.0=%

Dlx @rlw`hwo ($) -36.=: Dlx @rlw`hwo % -2.13%


Rmssedestea Vltm hc Vmturo 0.02% ALNV 2.0=%

Iuag Clathr 0.6> Vmahvmry Clathr <3.01

Qjlrpm Vlteh 2.>= Alidlr Vlteh <.61

P-Pmst 0.22

7/21/2019 SPY Quant v 0.01



@ltm Aihsm Ihss 622 @DL R/I R/I %

60-Kuo-<1 <=>.23 -<.63 <05.60 <.06 2.5

<=-Lpr-<1 <=0.1 -6.16 <06.:< <.<> 2.>3

6=-Cmf-<1 <0>.=3 -<.52 <1:.=> 2.>< 2.0:

20-Cmf-<1 <0:.25 -<.<1 <1>.=6 2.:< 2.=0

61-Kui-<6 <16.<0 -<.2< <6>.33 2.25 2.2>

6=-Kuo-<6 <6:.0= -<.32 <6=.>< 2.1> 2.65

<<-Kuo-<6 <6>.:> -<.6> <60.5< 2.1> 2.65

<0-Dly-<6 <12.= -<.<< <61.=: -2.25 -2.2>

25-Lpr-<6 <10.= -<.<6 <66.3< -2.6> -2.6

<<-Kui-<< <63.0 -<.:< <6<.2> -2.6> -2.66

23-Kuo-<< <66.5: -<.23 <<:.=3 2.30 2.=6

61-Dly-<< <6=.:3 -<.<3 <<>.=1 2.1> 2.65

<:-Lpr-<< <60.01 -<.<6 <<0.= 2.6 2.<3

63-Hat-25 5:.5> -<.2: :0.<3 2.< 2.<<

<>-Lun-25 52.=> -6.0> :2.<< 2.6 2.61

66-Kuo-25 :6.6= -1.2< :<.55 2.<: 2.66

<=-Kuo-25 :=.<< -6.6: :6.>3 2.1 2.1=

6>-Ohv-23 <62.2= -<.1: <<6.=0 -2.<3 -2.<1

2=-Kuo-23 <25.65 -<.0= <2>.:6 2.2> 2.2>

<2-Dly-20 52.<> -<.21 :5.2: 2.=6 2.=:

66-Dlr-20 52.:= -<.6> :>.21 2.05 2.=0

<=-Dlr-20 5<.:< -<.61 :3.>6 2.0: 2.=6

2:-Dlr-20 50.56 -<.66 :3.10 2.<6 2.<6

66-Qmp-21 :0.6> -<.2: >3.2= 2.21 2.20

6<-Kui-21 :2.0= -<.60 >1.>= 2.10 2.06

61-Kuo-21 :2.=> -<.26 >6.33 -2.<> -2.6<

25-Kuo-21 :2.<0 -<.2< >6.65 2.<: 2.66

<5-Dly-21 >=.=> -6.10 ><.5< 2.<0 2.<5

<6-Kuo-22 <<1.=0 -<.<> <25.= -2.23 -2.2=

60-Lpr-22 <<<.0: -<.2: <2:.61 <.:3 <.3>

6>-Dlr-22 <<5.2> -<.23 <2>.63 -2.=0 -2.0=

<1-Dlr-22 <2:.10 -<.<2 <23.=: 2.=1 2.05

60-Klo-22 <25.> -6.:0 <2=.>= 2.<0 2.<1

7/21/2019 SPY Quant v 0.01


Flag th flag <% `rhps ho QRU ho Dho`ly


• QRU es `hwo fy dhrm tjlo <% ùreon aurrmot trlèon smsseho &

• QRU es `hwo fy dhrm tjlo <% ùreon prmvehus trlèon smsseho ls wmii

•

Ph`ly es Dho`ly


Mxldpim trl`m

Ho 1r` Hat 62<<, wjeaj wls l Dho`ly, QRU aihsm` `hwo fy -6.:=%, ùreon tjm prmvehus

trlèon QRU aihsm` fy -6.=<% ls wmii. Pjm trl`m hutahdm chr tjm ihon motmrm` ho 1r` Hat

62<< lo` mxeteon lt aihsm ho 0tj Hat 62<< wls l 6.16 pheots nleo hr 6.<5%


Phtli Omt Rrhcet 63.0< Phtli Omt Rrhcet % 1<.2=%

Nrhss prhcet 11.:= Nrhss Ihss ->.00



Rrhcet clathr 0.== Hutiemr L`kustm` Rrhcet Clathr 1.13

Lvmrlnm Rrhcet Rmr Prl`m <.62 Lvmrlnm Rrhcet Rmr Prl`m % <.0<%

Dmèlo Prl`m 2.>1 Dmèlo Prl`m % 2.:5%

Lvmrlnm eo Prl`m 6.<6 Lvmrlnm Ihss Prl`m -<.60

Lvmrlnm êo Prl`m % 6.=2% Lvmrlnm Ihss Prl`m % -<.05%

Vlteh lvn weo/lvn ihss <.>< Vlteh lvn weo/lvn ihss % <.3:

Dlx Ahosmautevm êos = Dlx Ahosmautevm Ihssms 6

Dlx êo Prl`m :.:= Dlx Ihss Prl`m -0.61

Dlx êo Prl`m % <<.3:% Dlx Ihss Prl`m % -0.0:%

Dlx @rlw`hwo ($) -061 Dlx @rlw`hwo % -6.12%

Laahuot Qezm ($) <3>22 Vmturo ho Laahuot <=.:2%

Rmssedestea Vltm hc Vmturo :.52% ALNV <.02%

Iuag Clathr 0.3> Vmahvmry Clathr 3.60

Qjlrpm Vlteh 2.=2 Alidlr Vlteh 2.3<

P-Pmst 6.<:

7/21/2019 SPY Quant v 0.01



@ltm Aihsm Ihss Ihss (t-<) R/I R/I %

21-Hat-<< <2=.:1 -6.:= -6.=< 6.16 6.<5

2>-Kuo-<2 5:.=: -<.60 -1.=6 <.23 <.2:

63-Hat-25 5:.5> -<.2: -<.<= -2.03 -2.03

12-Dlr-25 >6.<: -1.0= -<.:< 2.3> 2.51

26-Dlr-25 30.66 -0.=< -6.66 -2.0: -2.>=

<6-Klo-25 >5.25 -6.0< -6.<0 2.<= 2.<5

<>-Ohv-2: >>.<6 -<.11 -0.5: <.0= <.::

6>-Hat-2: >=.>= -1.== -=.23 :.:= <<.3:

23-Hat-2: 50.05 -=.25 -<.1= -0.61 -0.0:

<>-Dlr-2: <<1.53 -<.2< -<.=3 0.>1 0.<=

<2-Dlr-2: <<1.35 -<.16 -<.21 0.25 1.3

<>-@ma-2> <6:.<: -<.06 -<.6> 2.>< 2.==

<2-Dly-20 52.<> -<.21 -<.3= 2.>3 2.:0

66-Dlr-20 52.:= -<.6> -<.00 -2.<3 -2.<:

6>-Klo-21 35.66 -<.1> -6.36 2.=< 2.>0

<<-Ohv-26 ><.1= -<.=3 -<.6< 2.=> 2.:

2>-Hat-26 31.5> -6.2> -<.:1 < <.=3

12-Qmp-26 33.<6 -<.<> -1.0: 1.<: 0.:<

2=-Lun-26 3>.06 -1.0: -6.60 6.6> 1.1>

66-Kui-26 33.<3 -6.53 -1.=< -<.:< -6.>0

23-Dly-26 :0.=5 -<.53 -<.25 -2.1 -2.1=

<6-Dlr-2< 51.60 -0.6: -6.53 <.=1 <.30

7/21/2019 SPY Quant v 0.01


Dho`ly 6% èps ùreon sjhrt tmrd `hwotrmo` ho QRU


• QRU es `hwo fy dhrm tjlo 6% ùreon aurrmot trlèon smsseho

• QRU aihsm es fmihw tjm 62 `ly dhveon lvmrlnm

•

Ph`ly es Dho`ly

• Nh ihon lt aihsm lo` mxet lt hpmo ùreon tjm omxt trlèon `ly.

Mxldpim trl`m

Ho <=tj Lpr 62<1, wjeaj wls l Dho`ly, QRU `rhppm` fy -6.16% lo` tjm aihsm <=0.1, es fmihw

tjm 62 @DL vlium, <==.1. Pjm trl`m hutahdm chr tjm ihon motmrm` ho <=tj Lpr 62<1 lo`

mxeteon ho <3tj Lpr 62<1 hpmo wls <.<> pheots nleo hr 2.>3%


Phtli Omt Rrhcet <6.01 Phtli Omt Rrhcet % <=.:<%

Nrhss prhcet <>.50 Nrhss Ihss -=.=<


# êo Prl`ms 6< # Ihss Prl`ms 5

Rrhcet clathr 1.63 Hutiemr L`kustm` Rrhcet Clathr 6.>2

Lvmrlnm Rrhcet Rmr Prl`m 2.0< Lvmrlnm Rrhcet Rmr Prl`m % 2.=1%


Lvmrlnm eo Prl`m 2.:= Lvmrlnm Ihss Prl`m -2.3<

Lvmrlnm êo Prl`m % <.2<% Lvmrlnm Ihss Prl`m % -2.32%

Vlteh lvn weo/lvn ihss <.02 Vlteh lvn weo/lvn ihss % <.35

Dlx Ahosmautevm eos : Dlx Ahosmautevm Ihssms 1

Dlx êo Prl`m 1.23 Dlx Ihss Prl`m -6.=5

Dlx êo Prl`m % 0.20% Dlx Ihss Prl`m % -6.02%

Dlx @rlw`hwo ($) -122.1 Dlx @rlw`hwo % -<.>=%

Laahuot Qezm ($) <3>22 Vmturo ho Laahuot >.02%

Rmssedestea Vltm hc Vmturo 0.22% ALNV 2.=0%

Iuag Clathr 0.22 Vmahvmry Clathr 0.<0

Qjlrpm Vlteh 2.36 Alidlr Vlteh 2.1<

P-Pmst 6.=1

7/21/2019 SPY Quant v 0.01



@ltm Aihsm Ihss 62 @DL R/I R/I %

<=-Lpr-<1 <=0.1 -6.16 <==.11 <.<> 2.>3

21-Hat-<< <2=.:1 -6.:= <<6.01 -<.=6 -<.00

2:-Lun-<< <2>.=6 -3.=< <61.3< <.>1 <.3<

<>-Lun-25 52.=> -6.0> 5<.1= 2.6 2.61

66-Kuo-25 :6.6= -1.2< :=.66 2.<: 2.66

26-Dlr-25 30.66 -0.=< >6.5> 2.56 <.01

61-Cmf-25 3>.5 -1.=: >=.<: 2.=5 2.:>

<6-Klo-25 >5.25 -6.0< :<.<6 -2.6 -2.6=

2<-@ma-2: >0.25 -:.:3 >5.30 <.61 <.3=

6>-Hat-2: >=.>= -1.== ::.=< 1.23 0.20

23-Hat-2: 50.05 -=.25 <23.>> <.5< 6.21

65-Qmp-2: <22.= ->.:1 <25.:> <.56 <.5<

66-Qmp-2: <25.03 -6.63 <<6.21 -2.0< -2.1:

<=-Qmp-2: <2>.>1 -0.>3 <<1.=5 -6.=5 -6.0

6=-Lun-2: <<1.5= -6.21 <<0.51 2 2

63-Ohv-2> <60.=0 -6.6< <12.01 2.> 2.=3

<5-Dly-21 >=.=> -6.10 >=.:1 2.<0 2.<5

1<-Dlr-21 35.<6 -6.6: 35.6> 2.06 2.3

<2-Dlr-21 33.23 -6.0< 3:.21 2.<1 2.6

25-@ma-26 >6.1= -6.>3 >0.<> 2.06 2.=:

2>-Hat-26 31.5> -6.2> 3:.:5 2.== 2.:3

2=-Lun-26 3>.06 -1.0: ><.2: <.<: <.>0

66-Kui-26 33.<3 -6.53 >=.36 2.6: 2.0121-Kuo-26 :1.>< -6.3= :3.>< -2.<> -2.6<

20-Cmf-26 :>.:= -6.05 52.5 -2.13 -2.0<

65-Hat-2< :=.30 -6.=5 :3.6> -2.2: -2.<

<>-Qmp-2< :6.:< -=.61 5<.61 2.21 2.20

26-Lpr-2< 52.06 -6.<1 51.6< -2.<: -2.6

<6-Dlr-2< 51.60 -0.6: <22.61 <.20 <.<6

60-Klo-22 <25.> -6.:0 <<6.50 2.<0 2.<1

7/21/2019 SPY Quant v 0.01


Dho`ly 6% rliiems ùreon sjhrt tmrd uptrmo` ho QRU


• QRU es up fy dhrm tjlo 6% ùreon aurrmot trlèon smsseho

• QRU aihsm es lfhvm tjm 62 `ly dhveon lvmrlnm

•

Ph`ly es Dho`ly

• Nh sjhrt lt aihsm lo` fuy th ahvmr lt hpmo ùreon tjm omxt trlèon `ly.

Mxldpim trl`m

Ho <2tj Hat 62<<, wjeaj wls l Dho`ly, QRU nleom` fy 1.10% lo` tjm aihsm <<=.6, es lfhvm 62

@DL vlium, <<6.2:. Pjm trl`m hutahdm chr tjm sjhrt motmrm` ho <2tj Hat 62<< lo` mxeteon ho

<<tj Hat 62<< hpmo wls 2.3: pheots nleo hr 2.=5%


Pjm trlèon strltmny jlso―t nmomrltm`, ls dloy trl`ms ls th dy prmcmrmoam, fut tjm e`ml es ,

et es l syddmtreali trl`m th tjlt prmsmotm` mlriemr Dho`ly 6% èps ùreon sjhrt tmrd`hwotrmo` ho QRU

Phtli Omt Rrhcet 1.55 Phtli Omt Rrhcet % 0.16%

Nrhss prhcet 0.>0 Nrhss Ihss -2.>=

# Prl`ms <= % Rrhcetlfim Prl`ms :2.22


Rrhcet clathr 3.16 Hutiemr L`kustm` Rrhcet Clathr =.<1

Lvmrlnm Rrhcet Rmr Prl`m 2.6> Lvmrlnm Rrhcet Rmr Prl`m % 2.65%

Dmèlo Prl`m -2.65 Dmèlo Prl`m % -2.16%

Lvmrlnm eo Prl`m 2.15 Lvmrlnm Ihss Prl`m -2.6=

Lvmrlnm êo Prl`m % 2.00% Lvmrlnm Ihss Prl`m % -2.1<%

Vlteh lvn weo/lvn ihss <.=: Vlteh lvn weo/lvn ihss % <.06


Dlx êo Prl`m 2.:5 Dlx Ihss Prl`m -2.11

Dlx êo Prl`m % <.<5% Dlx Ihss Prl`m % -2.06%

Dlx @rlw`hwo ($) -33.65 Dlx @rlw`hwo % -2.02%


Rmssedestea Vltm hc Vmturo <.12% ALNV 2.66%

Iuag Clathr 6.>6 Vmahvmry Clathr 3.26

Qjlrpm Vlteh 2.0> Alidlr Vlteh 2.==

P-Pmst -6.>>

7/21/2019 SPY Quant v 0.01



@ltm Aihsm Nleo 62 @DL R/I R/I %

<2-Hat-<< <<=.<6 1.10 <<6.2: 2.3: 2.=5

65-Lun-<< <<3.60 6.:: <<6.55 2.=< 2.00

26-Lun-<2 <2=.:: 6.63 <26.60 2.6> 2.6=

25-Ohv-25 <2<.01 6.6: 55.1 2.60 2.60

2<-Kuo-25 :3.:6 6.06 :1.66 2.10 2.15

<:-Dly-25 :1.=: 6.:0 :<.60 2.2= 2.2=

20-Dly-25 :1.63 1.02 >:.0= 2.65 2.1=

61-Dlr-25 >=.16 >.<> 3>.:1 2.:5 <.<5

2:-@ma-2: :6.<< 1.05 >>.>> 2.=: 2.>

60-Dlr-2: <62.63 6.22 <<:.< -2.<6 -2.<

<3-Kuo-21 :6.56 6.<< >5.<: -2.11 -2.0

<0-Lpr-21 >6.== 6.2= ><.11 2.25 2.<6

<>-Dlr-21 >2.= 1.<= 3:.20 -2.1 -2.06

<5-Lun-26 >3.>: 6.11 ><.0: 2.03 2.3

<<-@ma-22 <25.<> 1.0: <23.=0 2.10 2.16

7/21/2019 SPY Quant v 0.01


Hvmroenjt m`nm wjmo QRU nleos dhrm tjlo wjlt et jl` ihst ùreon

prmvehus `ly


• QRU ùreon tjm prmvehus trlèon `ly ihst dhrm tjlo <.=%

• @ureon tjm aurrmot trlèon smsseho QRU, nleom` dhrm tjlo wjlt et jl` ihst ùreon

prmvehus trlèon `ly.

• Nh ihon lt aihsm lo` mxet lt hpmo ùreon tjm omxt trlèon `ly

Rs; wjeim dh`miieon tjm lfhvm trlèon strltmny, l destlgm tjlt hom ahui` `h es, wretm

shdmtjeon iegm fmihw

Ajlonm W2T ?<.= & Ajlonm W<T 9-<.=

Ajlonm W2T fmeon tjm aurrmot `lys ajlonm %, wjeim Ajlonm W<T fmeon tjm prmvehus trlèon

ajlonm %

Rimlsm tlgm alrm th wreteon shdmtjeon iegm fmihw

Ajlonm W<T 9-<.= & Ajlonm W2T)?Lfs (Ajlonm W<T)

Lfs (Ajlonm W<T es tjm lfshiutm ajlonm % chr tjm prmvehus trlèon ly.

Mxldpim trl`m

Ho <>tj Hat 62<< QRU jl` ihst, -<.5<%, lo` ho <:tj Hat 62<< QRU nleom` <.5= % rmahvmreon tjm

moterm ihssms crhd prmvehus trlèon `ly, tjus dmmteon hur trlèon systmd ruims.

Pjm trl`m hutahdm chr tjm ihon motmrm` ho <:tj Hat 62<< aihsm lo` mxeteon ho <5tj Hat 62<<

wls l 2.<5 pheots ihss hr -2.<3%

7/21/2019 SPY Quant v 0.01



Phtli Omt Rrhcet 5.2: Phtli Omt Rrhcet % <2.06%

Nrhss prhcet <1.<6 Nrhss Ihss -0.20

# Prl`ms 60 % Rrhcetlfim Prl`ms 31.22

# êo Prl`ms <= # Ihss Prl`ms 5

Rrhcet clathr 1.6= Hutiemr L`kustm` Rrhcet Clathr 6.=2

Lvmrlnm Rrhcet Rmr Prl`m 2.1: Lvmrlnm Rrhcet Rmr Prl`m % 2.01%


Lvmrlnm eo Prl`m 2.:> Lvmrlnm Ihss Prl`m -2.0=

Lvmrlnm êo Prl`m % <.21% Lvmrlnm Ihss Prl`m % -2.=3%

Vlteh lvn weo/lvn ihss <.5= Vlteh lvn weo/lvn ihss % <.:=

Dlx Ahosmautevm êos = Dlx Ahosmautevm Ihssms 1

Dlx êo Prl`m 1.26 Dlx Ihss Prl`m -<.=:

Dlx êo Prl`m % 1.12% Dlx Ihss Prl`m % -<.56%

Dlx @rlw`hwo ($) -<=:.1 Dlx @rlw`hwo % -2.52%

Laahuot Qezm ($) <3>22 Vmturo ho Laahuot =.02%

Rmssedestea Vltm hc Vmturo 6.32% ALNV 2.0=%

Iuag Clathr 1.6< Vmahvmry Clathr =.>0

Qjlrpm Vlteh 2.02 Alidlr Vlteh 2.=2

P-Pmst <.5<

7/21/2019 SPY Quant v 0.01



@ltm Aihsm Nleo Ihss (t-<) R/I R/I %

<:-Hat-<< <<:.2< <.5= -<.5< -2.<5 -2.<3

<<-Lun-<< <<6.1: 0.05 -0.06 <.26 2.5<

26-Kuo-<2 <21.< 6.32 -<.3: 2.1 2.65

65-Hat-25 5:.>6 6.<0 -<.:5 -2.16 -2.11

61-Dlr-25 >=.16 >.<> -6.<6 -2.:5 -<.<5

60-Cmf-25 >2.0: 1.:2 -1.=: -2.1< -2.0=

2=-@ma-2: >5.10 1.2: -6.1< 6.<> 6.>0

<1-Ohv-2: :6.63 3.60 -0.0< -<.=: -<.56

6:-Hat-2: :0.3 <<.3: -1.== 2 2

<1-Hat-2: 5<.0= <0.=1 -6.01 1.26 1.1

<3-@ma-26 >0.25 6.=: -<.=> -2.66 -2.1

6>-Ohv-26 >3.66 6.:6 -<.5< 2.06 2.==

6=-Hat-26 >6.56 6.25 -6.20 2.>3 <.2=

<2-Hat-26 3=.<: 1.61 -6.:6 <.<5 <.:1

6=-Qmp-26 3:.<5 6.0: -<.3< 2.== 2.:

<0-Lun-26 >0.66 1.30 -<.:< 2.= 2.3>

60-Kui-26 3:.<: =.5= -6.>0 -2.1= -2.=6

<1-Dly-26 :3.=< 6.21 -<.:5 <.0< <.31

<5-Dlr-2< 56.5< 6.21 -6 2.00 2.0>

21-Klo-2< <23.3 0.:< -<.:< -2.2= -2.2=

<1-Hat-22 <2:.11 1.11 -6.05 -2.<< -2.<<

66-Qmp-22 <<0.0< <.:6 -<.=6 2.=6 2.03<<-Dly-22 <<2.>6 6.6: -6.6= 2.06 2.1:

2>-Klo-22 <<1.51 =.:2 -<.3< 2.15 2.10

7/21/2019 SPY Quant v 0.01


1% eotrl`ly frmlghuts ho Dho`lys lo` Pums`ly


• QRU stlrts trlèon lt dhrm tjlo 1% lfhvm prmvehus aihsm

• Nh ihon lt 1% crhd prmvehus aihsm imvmi ( ec et trl`ms tjmrm)

•

Mxet lt aihsm ùreon tjm sldm trlèon `ly―s aihsm

Edphrtlot pheot th ahose`mr ùreon tjm eotrl`ly trlèon, uoimss htjmrwesm fhtj eotrl`ly jenj

lo` eotrl`ly ihw lrm eo fmtwmmo tjm `mserm` motry pheot lo motry es oht phssefim. Qh et es

edphrtlot th ajmag wjmtjmr tjm `mserm` motry pheot es eo fmtwmmo tjm eotrl`ly jenj lo`

eotrl`ly ihw. ]suliiy lo motry es oht phssefim ùreon tjm uo-ceiim` cuii nlp ups/`hwos.

Pjrhunjhut tjes fhhg wm ahose`mr tjm lfhvm edphrtlot ajmag wjmtjmr hr oht lo motry es

phssefim ùreon hur jesthreali tmsteon pmreh`.

Mxldpim trl`mHo 62tj @ma 62<<, tjm HJIA imvmis wmrm <<:.1>, <62.6>, <<3.36 lo` <62.2>, lo` tjm prmvehus

`ly―s aihsm wls <<3.=0. Pjm trl`m hutahdm hc nheon ihon 1% lfhvm prmvehus aihsm, <62.20

lo` mxeteon lt aihsm wls l nleo hc 2.21 pheots hr 2.21%


Phtli Omt Rrhcet 1>.== Phtli Omt Rrhcet % 03.33%

Nrhss prhcet 01.6< Nrhss Ihss -=.3=

# Prl`ms 1> % Rrhcetlfim Prl`ms :5.22

# êo Prl`ms 11 # Ihss Prl`ms 0

Rrhcet clathr >.30 Hutiemr L`kustm` Rrhcet Clathr 3.2<

Lvmrlnm Rrhcet Rmr Prl`m <.2< Lvmrlnm Rrhcet Rmr Prl`m % <.63%

Dmèlo Prl`m 2.=6 Dmèlo Prl`m % 2.=2%

Lvmrlnm eo Prl`m <.1< Lvmrlnm Ihss Prl`m -<.0<

Lvmrlnm êo Prl`m % <.=5% Lvmrlnm Ihss Prl`m % -<.01%

Vlteh lvn weo/lvn ihss 2.51 Vlteh lvn weo/lvn ihss % <.<<

Dlx Ahosmautevm eos <= Dlx Ahosmautevm Ihssms <

Dlx êo Prl`m 5.62 Dlx Ihss Prl`m -0.<2

Dlx êo Prl`m % <<.<5% Dlx Ihss Prl`m % -0.13%

Dlx @rlw`hwo ($) -0<2.0 Dlx @rlw`hwo % -6.6<%

Laahuot Qezm ($) <3>22 Vmturo ho Laahuot 66.=2%

Rmssedestea Vltm hc Vmturo <3.12% ALNV <.>=%

Iuag Clathr >.2= Vmahvmry Clathr 5.<=

Qjlrpm Vlteh 2.03 Alidlr Vlteh 2.>5

P-Pmst 1.25

7/21/2019 SPY Quant v 0.01


7/21/2019 SPY Quant v 0.01


Nlp Rilys ^jlt es l Nlp8

L nlp es l ajlonm eo pream imvmis fmtwmmo tjm aihsm lo` hpmo hc twh ahosmautevm `lys. ^jy

`h yhu tjeog tjmsm nlps haaur8 ^mii, tjmy `h sh chr l vlremty hc rmlshos7 tjmy ahui` fm lo

hutahdm hc nmhphieteali `mvmihpdmots, hvmroenjt mlroeons loohuoamdmots, mahohdea

`mvmihpdmots lo` htjmr dlrgmt-rmiltm` mvmots tjlt tlgm pilam ùreon tjm tedm wjmo tjm

dlrgmts wmrm aihsm` chr trlèon. Pjmsm mvmots hctmo trennmr senoecealot pream dhvmdmot

lwly crhd tjm prehr `ly―s aihseon pream, rmsuiteon eo l nlp omxt dhroeon.

Jmrm lrm chur typms hc nlps `mceoeteho tjlt ld useon eo tjes ajlptmr.

L ’Cuii Nlp ]p— es `mceom` ls hom wjmo tjm hpmoeon pream hc l `ly es jenjmr tjlo tjm

prmvehus `ly―s jenj pream.

Hpmo W2T?Jenj W<T

L ’Nlp ]p— es hom wjmo l `ly―s hpmoeon pream es jenjmr tjlo tjm prmvehus `ly―s aihsm.

Hpmo W2T?Aihsm W<T

L ’Cuii Nlp @hwo— es `mceom` ls hom wjmo tjm hpmoeon pream hc l `ly es ihwmr tjlo tjm

prmvehus `ly―s ihw pream.

Hpmo W2T 9Ihw W<T

L ’Nlp @hwo— es hom wjmo l `ly―s hpmoeon pream es ihwmr tjlo tjm prmvehus `ly―s aihsm.

Hpmo W2T 9Aihsm W<T

E whui` fm ahose`mreon tjm chiihweon typms hc nlp ceii `mceoetehos eo tjes fhhg.

L ’Ceiim` Cuii Nlp ]p— es hom, wjmo pream ahdms flag lii tjm wly th tjm prmvehus `ly―s

jenj pream.

Ihw W2T 9Jenj W<T

L ’Ceiim` Cuii Nlp @hwo— es hom, wjmo tjm pream ahdms flag lii tjm wly th tjm prmvehus

`ly―s ihw pream.

Jenj W2T?Ihw W<T

L ’Ceiim Nlp ]p— es ls hom wjmo tjm pream ahdms flag lii tjm wly th tjm prmvehus `ly―s

aihseon pream.

Ihw W2T 9 Aihsm W<T

L ’Ceiim` Nlp @hwo— es hom wjmo tjm pream ahdms flag lii tjm wly th tjm prmvehus `ly―s

aihseon pream.

Jenj W2T?Aihsm W<T

7/21/2019 SPY Quant v 0.01


Dho`ly ]oceiim` Cuii Nlp @hwos


• QRU phsts lo uoceiim` cuii nlp `hwo

•

Ph`ly es Dho`ly

•

Nh ihon lt tjm aihsm

• Mxet lt hpmo ùreon tjm omxt trlèon smsseho

Mxldpim trl`m

Ho 6=tj Kuo 62<6, tjm HJIA imvmis wmrm, <65.<3, <65.6<, <6>.55 lo` <6:.0=. Pjm prmvehus `ly―s

ihw wls <65.>6. Pjm trl`m hutahdm hc nheon ihon lt aihsm ho 6=tj Kuo 62<6 lo` mxeteon ho

hpmo ho 63tj Kuo 62<6 wls l nleo hc 2.1> pheots hr 2.65%


Phtli Omt Rrhcet :.=1 Phtli Omt Rrhcet % 5.11%

Nrhss prhcet 5.=6 Nrhss Ihss -<

# Prl`ms 66 % Rrhcetlfim Prl`ms :3.22


Rrhcet clathr 5.=0 Hutiemr L`kustm` Rrhcet Clathr >.36

Lvmrlnm Rrhcet Rmr Prl`m 2.15 Lvmrlnm Rrhcet Rmr Prl`m % 2.06%

Dmèlo Prl`m 2.1 Dmèlo Prl`m % 2.6:%

Lvmrlnm eo Prl`m 2.= Lvmrlnm Ihss Prl`m -2.11

Lvmrlnm êo Prl`m % 2.=0% Lvmrlnm Ihss Prl`m % -2.1<%

Vlteh lvn weo/lvn ihss <.=< Vlteh lvn weo/lvn ihss % <.>1

Dlx Ahosmautevm êos <3 Dlx Ahosmautevm Ihssms 6

Dlx êo Prl`m <.5< Dlx Ihss Prl`m -2.0:

Dlx êo Prl`m % 6.21% Dlx Ihss Prl`m % -2.=<%

Dlx @rlw`hwo ($) -31.25 Dlx @rlw`hwo % -2.13%

Laahuot Qezm ($) <3>22 Vmturo ho Laahuot =.<2%

Rmssedestea Vltm hc Vmturo 1.=2% ALNV 2.00%

Iuag Clathr 1.>= Vmahvmry Clathr <1.=<

Qjlrpm Vlteh 2.31 Alidlr Vlteh <.61

P-Pmst 1.01

Slrelot; yhu ahui` ahose`mr twmlgeon tjm lfhvm trlèon systmds wetj mxet smt th aihsm lt cevm

trlèon `lys iltmr chr lo lvmrlnm prhcet % pmr trl`m hc <.0%, wetj lo hutiemr l`kustm` prhcet

clathr hc 6.0=

7/21/2019 SPY Quant v 0.01



@ltm Jenj

Rrmv

Ihw Aihsm R/I R/I %

6=-Kuo-<6 <65 <65.>6 <6:.= 2.1> 2.65

61-Lpr-<6 <11 <10.<3 <11.< 2.<6 2.25

6<-Ohv-<< <<3 <<3.5= <<=.6 -2.6= -2.66

<<-Kui-<< <6: <6>.>3 <63.0 -2.6> -2.66

61-Dly-<< <63 <6>.<2 <6=.5 2.1> 2.65

1<-Lun-25 50.= 50.=5 50.0 -2.0: -2.=<

<>-Lun-25 5<.6 5<.:3 52.=> 2.6 2.61

66-Kuo-25 :0 :0.16 :6.6= 2.<: 2.66

12-Dlr-25 >1.6 >0.05 >6.<: 2.>< 2.5:

2<-@ma-2: >5 >5.:0 >0.25 <.61 <.3=

23-Hat-2: 5>.< 5:.53 50.05 <.5< 6.21

26-Kuo-2: <6= <60.5< <60 2.1= 2.6:

<>-@ma-2> <12 <65.5> <6:.6 2.5 2.><

<0-Kuo-20 50.1 50.15 51.:< 2.=3 2.3

<2-Dly-20 52.5 5<.<< 52.<> 2.=6 2.=:

66-Dlr-20 5<.3 56.22 52.:= 2.05 2.=0

<>-Ohv-21 :3.0 :3.=6 :3.61 2.6= 2.65

66-Qmp-21 :0.3 :0.5> :0.6> 2.21 2.20

25-Kuo-21 :2.: :2.:= :2.<0 2.<: 2.66

66-Lpr-26 52.6 52.6> :5.26 2.2: 2.25

<>-Qmp-2< :0.= :=.=< :6.:< 2.21 2.20

<6-Dlr-2< 53.> 5>.6< 51.60 <.20 <.<6

7/21/2019 SPY Quant v 0.01


Pums`ly 2.=% ]oceiim` Nlp ]ps


• QRU phsts lo uoceiim` cuii nlp up

• Pjm nlp up sezm es dhrm tjlo 2.=%

•

Ph`ly es Pums`ly

• Nh Qjhrt lt tjm aihsm , fuy th ahvmr lt aihsm omxt trlèon smsseho

Pjm nlp sezm es `mceom` ls th`ly―s ihw mxprmssm` eo pmramotlnm tmrds hc prmvehus `ly―s aihsm.

Chr mx; 2.=% uoceiim` nlp up, es wjmo aurrmot ihw es nrmltmr tjlo prmvehus `ly―s aihsm fy dhrm

tjlo 2.=%.

Mxldpim trl`m

Ho <3tj Lpr 62<1, tjm HJIA imvmis wmrm, <==.0>, <=3.33, <==.25, lo` <=3.=:. Pjm prmvehus

`ly―s aihsm wls <=0.21. Pjm vlium (Ihw W2T-Aihsm W<T)*<22/Aihsm W<T, wjeaj es (<==.25-

<=0.21)*<22/<=0.21 nevms us l nlp sezm hc 2.=<%.

Pjm trl`m hutahdm hc nheon sjhrt lt aihsm ho <3tj Lpr 62<1 lo` fuyeon th ahvmr ho <>tj Lpr

62<1 wls l nleo hc 6.65 pheots hr <.03%.


Phtli Omt Rrhcet <=.11 Phtli Omt Rrhcet % <6.:=%

Nrhss prhcet 62.1> Nrhss Ihss -=.20

# Prl`ms1=

% Rrhcetlfim Prl`ms=>.22

# êo Prl`ms 62 # Ihss Prl`ms <=

Rrhcet clathr 0.20 Hutiemr L`kustm` Rrhcet Clathr 1.03

Lvmrlnm Rrhcet Rmr Prl`m 2.00 Lvmrlnm Rrhcet Rmr Prl`m % 2.1>%

Dmèlo Prl`m -2.21 Dmèlo Prl`m % -2.21%

Lvmrlnm eo Prl`m <.26 Lvmrlnm Ihss Prl`m -2.10

Lvmrlnm êo Prl`m % 2.56% Lvmrlnm Ihss Prl`m % -2.1>%

Vlteh lvn weo/lvn ihss 1.21 Vlteh lvn weo/lvn ihss % 6.05

Dlx Ahosmautevm eos = Dlx Ahosmautevm Ihssms 1

Dlx êo Prl`m 6.50 Dlx Ihss Prl`m -<.6<

Dlx êo Prl`m % 6.0:% Dlx Ihss Prl`m % -<.>0%

Dlx @rlw`hwo ($) -<=1 Dlx @rlw`hwo % -2.:5%


Rmssedestea Vltm hc Vmturo =.>2% ALNV 2.3>%

Iuag Clathr 6.>2 Vmahvmry Clathr <2.26

Qjlrpm Vlteh 2.=< Alidlr Vlteh 2.>=

P-Pmst -6.6>

7/21/2019 SPY Quant v 0.01


7/21/2019 SPY Quant v 0.01


Dhveon hoth eotrl`ly trlèon strltmnems; <% Cuii nlp `hwo hpmoeons


• QRU hpmos wetj l Cuii Nlp @hwo &

• QRU hpmos imss tjlo <% fmihw prmvehus trlèon `ly―s ihw

•

Ph`ly es OHP Dho`ly

• Nh ihon lt hpmo lo` mxet lt aihsm ho tjm sldm `ly

Mxldpim trl`m

Ho <st Ohv 62<<, QRU hpmom` lt <<>.0:, wjeaj es 6.31% fmihw tjm prmvehus trlèon `ly―s ihw

hc <62.3=. Pjm trl`m hutahdm hc nheon ihon lt hpmo ho <st Ohv 62<< lo` mxeteon lt aihsm wls

l ihss hc 2.21 pheots hr -2.26%.


Phtli Omt Rrhcet 1>.>0 Phtli Omt Rrhcet % 01.02%

Nrhss prhcet =6.=0 Nrhss Ihss -<0.:<

# Prl`ms 02 % Rrhcetlfim Prl`ms 32.22

# êo Prl`ms 60 # Ihss Prl`ms <3

Rrhcet clathr 1.== Hutiemr L`kustm` Rrhcet Clathr 1.<5

Lvmrlnm Rrhcet Rmr Prl`m 2.50 Lvmrlnm Rrhcet Rmr Prl`m % <.2:%

Dmèlo Prl`m <.25 Dmèlo Prl`m % <.2:%

Lvmrlnm eo Prl`m 6.<5 Lvmrlnm Ihss Prl`m -2.51

Lvmrlnm êo Prl`m % 6.0>% Lvmrlnm Ihss Prl`m % -<.22%

Vlteh lvn weo/lvn ihss 6.1> Vlteh lvn weo/lvn ihss % 6.0>


Dlx êo Prl`m =.12 Dlx Ihss Prl`m -6.1<

Dlx êo Prl`m % :.01% Dlx Ihss Prl`m % -6.>=%

Dlx @rlw`hwo ($) -60=.6 Dlx @rlw`hwo % -<.66%


Rmssedestea Vltm hc Vmturo <0.22% ALNV <.>5%

Iuag Clathr 1.0< Vmahvmry Clathr <=.15

Qjlrpm Vlteh 2.3= Alidlr Vlteh <.0>

P-Pmst 1.<3

7/21/2019 SPY Quant v 0.01



@ltm Hpmo Rrv Ihw Aihsm R/I R/I %

2<-Ohv-<< <<>.0: <62.3= <<>.= -2.21 -2.26

20-Hat-<< <20.1< <2=.>< <2:.6 1.:0 1.3:

66-Qmp-<< <25.20 <<6.<2 <2:.> -2.1: -2.10

23-Qmp-<< <25.=3 <<6.0: <<6.< 6.05 6.6>

26-Qmp-<< <<1.01 <<=.3: <<6.5 -2.== -2.0:

<:-Lun-<< <<<.=5 <<1.>< <25.> -<.5< -<.><

61-Kuo-<< <6<.>5 <61.<3 <66.5 <.25 2.5

<=-Dlr-<< <62.<1 <66.0> <66 <.:> <.=3

60-Lun-<2 55.0: <22.=1 55.25 -2.15 -2.0

<6-Lun-<2 <2<.2: <26.03 <26 2.56 2.5<

65-Kuo-<2 55.== <22.32 5>.:= -<.> -<.><

6=-Dly-<2 5:.61 <22.=> <22.: 6.=1 6.=:

6<-Dly-<2 5:.5> <22.01 <26 6.55 1.26

6>-Ohv-25 <22.1= <26.=: <2<.0 <.2: <.2:

2<-Hat-25 5=.1= 53.:0 5=.16 -2.21 -2.21

26-Kui-25 :1.53 :0.5= :6.>0 -<.66 -<.0=

6<-Dly-25 :<.53 :6.:1 :<.>1 -2.61 -2.6:

6>-Cmf-25 3>.16 3:.>2 3>.6= -2.2> -2.<<

62-Cmf-25 35.>5 >2.53 >2.06 2.31 2.5

<>-Cmf-25 >6.56 >=.63 >6.23 -2.:3 -<.<>

<6-@ma-2: >>.<5 >:.:0 :2.65 1.< 0.26

60-Hat-2: >=.:= >>.06 >:.=0 6.35 1.==

66-Hat-2: :0.25 :=.5< :<.>: -6.1< -6.>=

<2-Hat-2: >:.6: :<.01 >5.:= <.=> 6.2<

2:-Hat-2: :>.55 :5.56 :>.5: -2.2< -2.2<

<3-Qmp-2: <2=.<0 <2>.== <25.= 0.0 0.<:

<1-Dlr-2: <<=.<1 <<3.=2 <<3.5 <.:< <.=>

2=-Cmf-2: <62.>= <66.63 <<5.< -<.3< -<.11

66-Klo-2: <<6.55 <<3.0= <<3.< 1.<6 6.>3

2>-Dlr-21 33.1 3>.22 3>.35 <.15 6.<

23-@ma-26 >6.:3 >1.30 >0.0 <.=0 6.<6

60-Kui-26 36.:: 30.<5 3:.<: =.1 :.01

<5-Kui-26 35.:1 >2.36 3:.<: -<.3= -6.13

63-Kuo-26 >3.36 >:.=2 >:.3= 6.21 6.3=

<0-Kuo-26 :2.0= :<.6> :<.16 2.:> <.25

2>-Kuo-26 :<.31 :6.>1 :6.:: <.6= <.=1

6<-Qmp-2< >=.<0 >:.63 >>.=1 6.15 1.<:

62-@ma-22 <2<.=> <26.3> 55.35 -<.:: -<.:=

<:-Hat-22 <20.00 <2=.:= <2=.> <.6: <.66

6>-Lpr-22 <<6.2> <<0.0< <<0.0 6.1= 6.<

7/21/2019 SPY Quant v 0.01


<% Nlp lo` nh ho Pums`lys


• QRU hpmos wetj l nlp up hpmoeon &

• QRU hpmos dhrm tjlo <% lfhvm prmvehus trlèon `ly―s aihsm

•

QRU aihsm` `hwo ùreon tjm prmvehus trlèon smsseho.

• Ph`ly es Pums`ly

• Nh ihon lt hpmo lo` mxet lt aihsm ho tjm sldm `ly

Mxldpim trl`m

Ho 6:tj Dly 62<1, wjeaj wls l Pums`ly, QRU hpmom` lt <33.<3, wjeaj es <.20% lfhvm tjm

prmvehus trlèon `ly―s aihsm hc <33.00. QRU ihst -2.25% ùreon tjm prmvehus trlèon `ly.

Pjm trl`m hutahdm hc nheon ihon lt hpmo ho 6:tj Dly 62<1 lo` mxeteon lt aihsm wls l ihss hc

2.>0pheots hr -2.00%.


Phtli Omt Rrhcet 66.1= Phtli Omt Rrhcet % 61.:6%

Nrhss prhcet 16.3> Nrhss Ihss -<2.16

# Prl`ms 6= % Rrhcetlfim Prl`ms >6.22

# êo Prl`ms <: # Ihss Prl`ms 3

Rrhcet clathr 1.<> Hutiemr L`kustm` Rrhcet Clathr 6.32

Lvmrlnm Rrhcet Rmr Prl`m 2.:5 Lvmrlnm Rrhcet Rmr Prl`m % 2.5=%

Dmèlo Prl`m <.25 Dmèlo Prl`m % <.6<%

Lvmrlnm eo Prl`m <.:6 Lvmrlnm Ihss Prl`m -<.>6Lvmrlnm êo Prl`m % <.56% Lvmrlnm Ihss Prl`m % -<.:2%

Vlteh lvn weo/lvn ihss <.23 Vlteh lvn weo/lvn ihss % <.2>

Dlx Ahosmautevm eos 5 Dlx Ahosmautevm Ihssms 6

Dlx êo Prl`m =.>5 Dlx Ihss Prl`m -3.<0

Dlx êo Prl`m % >.1=% Dlx Ihss Prl`m % -3.1>%

Dlx @rlw`hwo ($) -3<0.= Dlx @rlw`hwo % -1.10%

Laahuot Qezm ($) <3>22 Vmturo ho Laahuot <1.02%

Rmssedestea Vltm hc Vmturo 3.62% ALNV <.<2%

Iuag Clathr 1.:6 Vmahvmry Clathr 1.30

Qjlrpm Vlteh 2.3< Alidlr Vlteh 2.11

P-Pmst 6.21

7/21/2019 SPY Quant v 0.01



@ltm Hpmo Rrv Aihsm Aihsm R/I R/I %

6:-Dly-<1 <33.<3 <30.00 <3=.0 -2.>0 -2.00

21-Klo-<6 <61.>: <6<.=5 <61.= -2.6= -2.6

62-@ma-<< <<:.1> <<3.=0 <62.< <.> <.01

25-Lun-<< <25.6= <2>.=6 <<6.= 1.6> 6.55

23-Kui-<2 5>.1< 5=.53 53.=5 -2.>6 -2.>0

25-Cmf-<2 55.>< 5:.== 55.>5 2.2: 2.2:

<2-Dlr-25 31.61 3<.5= 3=.3= 6.06 1.:1

21-Dlr-25 3=.<0 30.66 31.>0 -<.0 -6.<=

<3-@ma-2: :6.5 >5.<: :6.5 2 2

26-@ma-2: >=.16 >0.25 >3.50 <.36 6.<3

6:-Hat-2: >:.:< >=.>= :0.3 =.>5 >.1=

2>-Hat-2: 53.0 50.05 52.63 -3.<0 -3.1>

12-Qmp-2: <26.06 <22.=2 <20.> 6.60 6.<:

<:-Dlr-2: <<3.26 <<1.53 <<:.> 6.3> 6.1

<<-Dlr-2: <<3.<< <<1.35 <<>.: <.3> <.00

<5-Cmf-2: <6<.00 <62.20 <62.0 -<.2> -2.::

<1-Ohv-2> <6:.0= <63.5> <12.: 6.15 <.:3

23-Dlr-2> <6<.20 <<5.>5 <6<.: 2.: 2.33

23-Lun-26 3:.3 3>.06 35.35 <.25 <.3

<3-Lpr-26 :5.=5 ::.3: 52.>5 <.6 <.10

<1-Ohv-2< 52.0< :5.65 5<.65 2.:: 2.5:

<1-Dlr-2< 50.6: 51.60 50.>> 2.05 2.=6

<0-Ohv-22 <2:.63 <23.>= <25.3 <.1< <.6<

6=-Lpr-22 <<1.10 <<<.0: <<3.< 6.>> 6.00

2:-Cmf-22 <<6.=0 <<<.12 <<6.: 2.6> 2.60

7/21/2019 SPY Quant v 0.01


<% Cuii nlp up hpmoeon, cl`m` fy htjmrs


• QRU hpmos wetj l <% cuii nlp up hpmoeon ( hpmo es nrmltmr tjlo <% prmvehus `ly―s

jenj)

•

Nh Ihon lt prmvehus `ly―s jenj , ec wm nmt lo motry lt prmvehus `ly―s jenj

• Mxet lt aihsm tjm sldm `ly

Vmpmlteon hom dhrm tedm wjlt E sle` mlriemr eo tjm fhhg

Edphrtlot pheot th ahose`mr ùreon tjm eotrl`ly trlèon, uoimss htjmrwesm fhtj eotrl`ly

jenj lo` eotrl`ly ihw lrm eo fmtwmmo tjm `mserm` motry pheot lo motry es oht phssefim. Qh

et es edphrtlot th ajmag wjmtjmr tjm `mserm` motry pheot es eo fmtwmmo tjm eotrl`ly jenj

lo` eotrl`ly ihw. ]suliiy lo motry es oht phssefim ùreon tjm uo-ceiim` cuii nlp

ups/`hwos.

Mxldpim trl`m

Ho >tj Kuom 62<6, QRU hpmom` lt <65.::, wjeaj es <.25% lfhvm tjm prmvehus trlèon `ly―s

jenj hc <6:.0:. @ureon tjm eotrl`ly QRU dhvms flag th <6:.0: lo` prhve`ms lo motry

hpphrtuoety chr us th nh ihon ho QRU. Pjm trl`m hutahdm hc nheon ihon lt hpmo prmvehus

trlèon `ly―s jenj ho >tj Kuom 62<< lo` mxeteon lt aihsm wls l nleo hc 2.26 pheots hr 2.26 %.


Phtli Omt Rrhcet 62.6: Phtli Omt Rrhcet % 6<.>3%

Nrhss prhcet 60.5: Nrhss Ihss -0.>

# Prl`ms <> % Rrhcetlfim Prl`ms >3.22


Rrhcet clathr =.16 Hutiemr L`kustm` Rrhcet Clathr 0.=2

Lvmrlnm Rrhcet Rmr Prl`m <.<5 Lvmrlnm Rrhcet Rmr Prl`m % <.6:%

Dmèlo Prl`m <.:6 Dmèlo Prl`m % <.31%

Lvmrlnm eo Prl`m <.56 Lvmrlnm Ihss Prl`m -<.<>

Lvmrlnm êo Prl`m % 6.<6% Lvmrlnm Ihss Prl`m % -<.03%

Vlteh lvn weo/lvn ihss <.30 Vlteh lvn weo/lvn ihss % <.0=

Dlx Ahosmautevm eos : Dlx Ahosmautevm Ihssms 6

Dlx êo Prl`m 1.:0 Dlx Ihss Prl`m -<.33

Dlx êo Prl`m % =.<2% Dlx Ihss Prl`m % -6.65%

Dlx @rlw`hwo ($) -6<2.6 Dlx @rlw`hwo % -<.63%

Laahuot Qezm ($) <3>22 Vmturo ho Laahuot <6.<2%

Rmssedestea Vltm hc Vmturo 3.32% ALNV <.2<%

Iuag Clathr 6.02 Vmahvmry Clathr 5.3=

Qjlrpm Vlteh 2.00 Alidlr Vlteh 2.:2P-Pmst 6.3>

7/21/2019 SPY Quant v 0.01



@ltm Hpmo Ihw Rrv Jenj Aihsm R/I R/I %2>-Kuo-<6 <65.:: <6:.60 <6:.0: <6:.= 2.26 2.26

12-Ohv-<< <<:.:5 <<=.=1 <<3.05 <62.11 1.:0 1.65

20-Ohv-<2 <<0.0: <<1.6= <<1.12 <<=.0< 6.<< <.:>

<=-Kui-25 :0.=: :1.=0 :1.== :=.56 6.1> 6.:1

26-Lpr-25 >3.<< >0.16 >0.=5 >3.01 <.:0 6.0>

<3-@ma-2: :6.5 >5.=3 :2.00 :6.5 6.03 1.2=

2:-@ma-2: :<.=< >5.0: >5.>: :6.<< 6.11 6.56

60-Ohv-2: >1.5< >6.=< >1.22 >3.>6 1.>6 =.<

<2-Ohv-2: :=.5< :6.20 :0.:6 :1.=: -<.60 -<.03

20-Ohv-2: :5.1: :>.63 ::.<0 52.3 6.03 6.>5<0-Hat-2: 50.0> :>.36 5<.0= 52.25 -<.13 -<.05

2:-Qmp-2: <<0.:3 <<<.3< <<6.<2 <<1.56 <.:6 <.31

<5-Cmf-2: <6<.00 <<5.=3 <62.<< <62.1> 2.63 2.66

<>-Lun-2> <6>.50 <60.11 <6=.>2 <6>.6= <.== <.61

2>-Lpr-21 >1.35 ><.>= >6.63 ><.:6 -2.00 -2.3<

<>-Qmp-26 >1.<= >2.31 >6.1= >2.35 -<.33 -6.65

<>-Klo-2< <23.0> <20.>1 <2=.<> <2=.1> 2.6 2.<5

7/21/2019 SPY Quant v 0.01


7/21/2019 SPY Quant v 0.01


7/21/2019 SPY Quant v 0.01


Qlyholrl Lctmr yhu jlvm rml` tjes dltmreli lo` stuèm` shdm hc tjm sedpim lo` ymt jenj prhflfeiety

trlèon plttmros yhu dly fm ceiim` wetj motjuselsd lo` l fmiemc tjlt yhu lrm ohw rml`y th

ahoqumr tjm dlrgmts. ^m sunnmst tjlt yhu tlgm tjm tedm th rm-rml`, rmvemw lo` yhursmic

tmst lii tjm plttmros crhd tjes fhhg. Et es vetli tjlt yhu uo`mrstlo` tjm plttmros chr yhursmic.Plgm tjm tedm th tmst tjm plttmros lo` try duitepim ahdfeoltehos hc tjm vlrehus plttmros

èsaussm` eo mlaj ajlptmr.

Jhwmvmr, fmchrm yhu smt hut th `h tjlt, wm wlot th aluteho yhu fm pltemot lo` `h

succeaemot rmsmlraj eostml` hc nmtteon prmdlturmiy tmdptm` fy eddmèltmiy useon tjm

plttmros prmsmotm` eo tjes fhhg. @h yhur hwo rmsmlraj, prlateam cmw plpmr trl`ms fmchrm

dlgeon l trlèon pilo wetj tjm trlèon plttmros prmsmotm` eo tjes fhhg & ceoliiy `ho―t

lrteceaeliiy ’chram— trl`ms kust fmalusm tjm plttmros prmsmotm` eo tjm fhhg lrm jenj

prhflfeiestea eo olturm eo tjm plst. Uhu omm` th uo`mrstlo` tjm resgs lsshaeltm` eo sjhrt

tmrd trlèon lo` tjm aurrmot dlrgmt ahoètehos...

Aihseon tjes fhhg `hms oht dmlo jlveon th sly nhh`-fym. Uhu dly jlvm qumstehos, ec sh,

yhu alo liwlys mdlei dm lt plststltBndlei.ahd , E―ii try th rmspho` th mlaj lo` mvmry dlei

E rmamevm ec E hoiy gohw tjm loswmr.

Vleseon cuo`s chr frenjtmr cuturmsAjres Jhjo's Pjm Ajei`rmo's Eovmstdmot Cuo` Chuo`lteho vs Dlra Fmoehcc's

Ahdplsseholtm Alpetliesd (dlei rmpiems lo` cmw vh`gl denjt rmshivm tjes).

E wesj yhu suaamss. Prl`m eotmiienmotiy!

-Ghrl Vm``y





7/21/2019 SPY Quant v 0.01


NihsslryQhdm hc tjm chiihweon tmrds lrm usm` tjrhunjhut tjes fhhg. Uhu denjt wlot th niloam

tjrhunj tjes nihsslry th smm jhw tjmy lrm `mceom` chr tjm purphsms hc tjes fhhg. Qhdm

l`èteholi tmrds (plttmros) wjeaj lrm oht ahvmrm` eo tjm fhhg lrm ahvmrm` jmrm thh.

6 FLV OV (6FOV); Pjm olrrhwmst rlonm crhd jenj th ihw hc loy twh-`ly pmreh` rmiltevm th

loy twh-`ly pmreh` wetjeo tjm prmvehus twmoty `lys.

1 FLV OV (1 FOV) ; Pjm olrrhwmst rlonm crhd jenj th ihw hc loy tjrmm-`ly pmreh`

rmiltevm th loy tjrmm-`ly pmreh` wetjeo tjm prmvehus twmoty `lys.

0 FLV OV (0FOV); tjm olrrhwmst rlonm crhd jenj th ihw hc loy tjrmm-`ly pmreh` rmiltevm th

loy tjrmm-`ly pmreh` wetj eo tjm prmvehus tjerty `lys.

: FLV OV (:FOV); Pjm olrrhwmst rlonm crhd jenj th ihw hc loy menjt-`ly pmreh` rmiltevm

th loy menjt-`ly pmreh` wetjeo tjm prmvehus chrty `lys.

Laauduilteho; Pjm mstlfiesjdmot hc lo eovmstdmot hr spmauiltevm phseteho fy

prhcmsseholi eotmrmsts eo loteaeplteho hc lo l`vloam eo pream.

Luthdltea Vliiy; L tmajoeali rmfhuo` tjlt haaurs kust lctmr l smiieon aiedlx, usuliiy vmry

sjhrt-ievm` fut shdmtedms prhùams ilrnm dhvms.

Flr Ajlrt; Qjhws tjm hpmo, jenj, ihw lo` aihsm hc l dlrgmt.

Frmlghut; L `maesevm dhvm tjrhunj lo lrml hc rmsestloam hr supphrt, usuliiy ajlrlatmrezm`

fy l we`m sprml` `ly, lo` aihsm hc tjm `ly eo tjm èrmateho hc tjm frmlghut.

Fuinm; L su``mo mxploseho hc pream hr vhiudm7 usm 62 `lys ls l rmcmrmoam wjmo ailssecyeon

l fuinm `ly.

Aiedlx Fuyeon; L setulteho ajlrlatmrezm` fy tjm jenjmst eotmosety hc spmauiltevm `mdlo`

haaurreon wetjeo lo uptrmo`. ]suliiy laahdploem` fy l ^Q `ly lo` tjm jenjmst vhiudm

rmnestmrm` wetjeo tjm uptrmo`. Pjes setulteho hoiy haaurs lctmr tjm dhvm jls fmmo eo mccmat

chr shdm tedm. Pjes ahoèteho dlrgs tjm lpprhlajeon mo` hc l plrteauilr uptrmo`.

Aiedlx Qmiieon; L setulteho ajlrlatmrezm` fy tjm jenjmst eotmosety hc spmauiltevm suppiy

haaurreon wetjeo l `hwotrmo`. ]suliiy laahdploem` fy l ^Q `ly lo` tjm jenjmst vhiudmrmnestmrm` wetjeo tjm `hwotrmo`. Pjes setulteho hoiy haaurs lctmr tjm dhvm jls fmmo eo

mccmat chr shdm tedm. Pjes ahoèteho dlrgs tjm lpprhlajeon mo` hc l plrteauilr `hwotrmo`.

Aihsm; Pjm ilst trl`m rmnestmrm` eo tjm tedm pmreh` uo`mr ahose`mrlteho.

Ahonmsteho; L smrems hc trlèon `lys wetj oh vesefim prhnrmss eo metjmr èrmateho. ]suliiy

lsshaeltm` wetj olrrhw rlonm `lys hr oho-trmo` `lys

Ahotrlateho; Dlrgmt fmjlvehur rmprmsmotm` fy l ahonmsteho hr rmsteon pmreh` metjmr

sjhrt-tmrd (E@) hr ihon-tmrd (: Flr OV) lo` usuliiy rmlajeon ets olrrhwmst pjlsm lt tjm

mo` hc tjm pmreh`.

7/21/2019 SPY Quant v 0.01


Ahotrlateho / Mxploseho; Qunnmsts tjlt tjm dlrgmt ls l pjmohdmoho es ahostlotiy

ajloneon crhd l pmreh` hc dhvmdmot th l pmreh` hc rmst lo` flag th l pmreh` hc

dhvmdmot. Pjes eotmrajlonm fmtwmmo tjm pjlsms hc dhteho lo` rmst, ahonmsteho lo`

trmo`, hr trlèon rlonm lo` frmlghut, lrm ahostlotiy tlgeon pilam, wetj hom pjlsm èrmatiy

rmsphosefim chr tjm htjmr―s mxestmoam. Pjes pjmohdmoho es dhst lpplrmot wjmo vemweon tjm

dlrgmt crhd tjm ahotmxt hc pream dhvms hcc tjm hpmo.

@estrefuteho; Pjm mstlfiesjdmot hc lo eovmstdmot hr spmauiltevm phseteho fy

prhcmsseholi―s eotmrmsts eo loteaeplteho hc l `maieom eo pream.

@hwotrmo`; L smrems hc ihwmr ihws lo` ihwmr jenjs.

Mlriy Motry; L ilrnm pream dhvmdmot eo hom èrmateho wetjeo tjm cerst cectmmo deoutms lctmr

tjm hpmo hc tjm `leiy smsseho, tjm hpmo sjhui` lat ls hom mxtrmdm. Rrhflfeiety hc

ahoteoulteho es >2%.

Mlriy Motry Cleiurm; Lctmr Mlriy Motry, l ihss hc dhdmotud lo` sufsmqumot sject eo

dhdmotud ahuotmr th tjm èrmateho hc tjm mlriy motry rmsuiteon eo l dhvm flag tjrhunj

tjm mlriy mstlfiesjm` mxtrmdm.

Mxploseho; Dlrgmt lateho tjlt haaurs lt tjm ahoaiuseho hc ahotrlateho lo` esajlrlatmrezm` fy ^Q `lys hr ^Q> `lys. Pjes lateho usuliiy es tjm fmneooeon hc tjm omxt

trmo`.

Cl`m; L phseteho tlgmo hpphsetm th tjm èrmateho hc tjm eoeteli dhvm hcc tjm hpmo ho l nevmo

`ly. Pjes es usuliiy ahose`mrm` wjmo tjm eoeteli dhvm hcc tjm hpmo es eo tjm hpphsetm

èrmateho hc tjm prmvleieon trmo` lo` pream plttmro stuèms ahocerd tjm trmo`.

Nlp; l `ly eo wjeaj tjm `leiy rlonm es ahdpimtmiy lfhvm hr fmihw tjm prmvehus `ly―s `leiy

rlonm. ^jmo vemweon eotrl`ly ajlrts l nlp dly lppmlr ho kust l jenjmr hr ihwmr hpmo

wetjhut mxammèon tjm prmvehus `ly―s jenj hr ihw.

7/21/2019 SPY Quant v 0.01


Nlp @hwo; L `ly wjhsm hpmo es fmihw tjm prmvehus `ly―s ihw.

Nlp Vmvmrsli; Pjm ihw hc tjm ilst `ly es ahdpimtmiy lfhvm tjm prmamèon `ly―s lateho wetj

tjm aihsm rmvmrseon lt imlst twh aihseons7 wetj l aihsm lfhvm de`-rlonm lo` tjm hpmo. Pjes

rmahr`s l vmry strhon ajlonm eo smotedmot

Nlp ]p; Ph`ly―s hpmo es nrmltmr tjlo ymstmr`ly―s jenj.

Jenjmr Jenj; Ph`ly―s jenj es lfhvm ymstmr`ly―s jenj.

Jenjmr Ihw; Ph`ly―s ihw es fmihw ymstmr`ly―s ihw.

Jhhg Fmlr; L `ly eo wjmo tjm hpmo es fmihw tjm prmvehus `ly―s ihw lo` tjm aihsm es lfhvm

tjm prmvehus `ly―s aihsm wetj l olrrhw rlonm.

Jhhg Fuii; L `ly wjmo tjm hpmo es lfhvm tjm prmvehus `ly―s jenj lo` tjm aihsm es fmihw

tjm prmvehus `ly―s aihsm wetj l olrrhw rlonm.

Jyph`mrdeas; L `miefmrltmiy chram`, rlpe` dlrg-up eo pream. Pjm purphsm hc jyph`mrdeas

es tjm steduilteho hc uoeochrdm` fuyeon eo hr`mr th claeietltm èstrefuteho.

Eoeteli Rrhtmatevm Qthp; Lo hr`mr pilam` renjt lctmr l trl`m es motmrm` eo hr`mr th jmip

ahotrhi resg.

Eose`m @ly (E@); Lo OV `ly tjes jls ets `leiy rlonm ahdpimtmiy wetjeo tjm prmvehus `leiy

rlonm.

Ilp @hwo; Ph`ly―s hpmo es ihwmr tjlo ymstmr`ly―s aihsm fut oht ihwmr tjlo ymstmr`ly―s

ihw.

Ilp ]p; Ph`ly―s hpmo es jenjmr tjlo ymstmr`ly―s aihsm fut oht jenjmr tjlo ymstmr`ly―s

jenj.

Ilst Rheot hc Qupphrt; L olrrhw, ihw vhiudm pream rlonm (phssefiy 6 Flr OV) tjlt haaurs

kust prehr th tjm ahddmoamdmot hc l dlrg up pjlsm. Pjm dlrgmt es sle` th fm eo

mqueiefreud lt suaj l kuoaturm.

Iedet Hr`mr; Lo hr`mr th fuy hr smii lt l spmaecem` pream.

7/21/2019 SPY Quant v 0.01


Ihon; L fuy phseteho tjlt smmgs th prhcet eo tjm loteaeplteho hc tjm dlrgmt reseon.

Ihwmr Jenj; L jenj tjlt es ihwmr tjlo tjm prmvehus `ly―s jenj.

Ihwmr Ihw; L ihw tjlt es ihwmr tjlo tjm prmvehus `ly―s ihw.

Dlrgmt; Loy hrnloezm` mxajlonm wjmrm fuymrs lo` smiimrs alo dmmt th mxajlonm tjmer

nhh`s, eo tjes alsm cuturms ahotrlats.

Dlrgmt Hr`mr; Lo hr`mr th fm mxmautm` eddmèltmiy lt tjm lsgeon pream chr fuys lo` lt

tjm fe` pream chr slims.

Dhveon Lvmrlnm; Pjm lvmrlnm pream hc l smaurety hvmr l nevmo pmreh`7 chr eostloam, l <2-`ly

dhveon lvmrlnm whui` fm tjm sud hc tjm prmvehus tmo `lys― preams ève`m` fy <2.

Oho-Prmo` @ly; Pjm cerst jhur―s rlonm ahdpresms <22% hc tjm `ly―s rlonm lo` lii

sufsmqumot tedm frlagmts trl`m hvmr tjm sldm preams ls tjm eoeteli fliloam lrml.

Ajlrlatmrezm` fy l olrrhw `leiy rlonm lo` ihw vhiudm

OV0; es l `leiy rlonm tjlt es olrrhwmr tjlo tjm prmvehus tjrmm `lys ahdplrm` eoèveùliiy

th tjm `ly eo qumsteho.

OV>; es l `leiy rlonm tjlt es olrrhwmr tjlo tjm prmvehus tjrmm `lys ahdplrm` eoèveùliiy

th tjm `ly eo qumsteho.

Hpmo; es tjm cerst trl`m rmnestmrm` eo tjm tedm pmreh` uo`mr ahose`mrlteho.

Hpmoeon Vlonm (HV); es tjm cerst tjerty smaho`s hc trl`m hc mlaj trlèon `ly.

Hpmoeon Vlonm Frmlghut (HVF); es l trl`m wetj motry tlgmo lt l prm`mtmrdeom` ldhuot

lfhvm hr fmihw tjm hpmoeon rlonm. ^jmo tjm prm`mtmrdeom` ldhuot (Pjm Qtrmtaj) es

ahdputm`, l fuy-sthp es pilam` tjlt ldhuot lfhvm tjm jenj hc tjm hpmoeon rlonm lo` l smii

sthp es pilam` tjm sldm ldhuot fmihw tjm ihw hc tjm hpmoeon rlonm. Pjm cerst sthp tjlt es

trl`m` es tjm phseteho lo` lo (HVF).

HVF Rrmcmrmoam (HVFR); Pjm prhamùrm es sedeilr th tjm (HVF) fut tjm hoiy hr`mr

motmrm` es tjm sthp eo tjm èrmateho hc tjm motry. Pjm prhtmatevm sthp es motmrm` hoiy lctmr

7/21/2019 SPY Quant v 0.01


tjm trl`m jls fmmo motmrm`. Pjm mxampteho th tjes es ec tjm dlrgmt trl`ms th tjm strmtaj eo

tjm hpphsetm èrmateho cerst, tjmo tjm (HVFR) es ouiiecem` lo` tjm rmsteon hr`mr es aloamiim`.

Hutse`m @ly (H@); es l `ly eo wjeaj tjm jenj lo` ihw preams lrm, rmspmatevmiy, jenjmr lo`

ihwmr tjlo tjhsm hc tjm prmamèon `ly.

Revht Jenj; L jenj surrhuo`m` fy twh ihwmr jenjs. Alo lish fm twh mquli (hr eo rlrm alsmstjrmm) jenjs surrhuo`m` fy twh ihwmr jenjs.

7/21/2019 SPY Quant v 0.01


Revht Ihw; L ihw surrhuo`m` fy twh jenjmr ihws. Alo lish fm twh mquli (hr eo rlrm alsms

tjrmm mquli) ihws surrhuo`m` fy twh jenjmr ihws.

Rhhr Aihsm; Pjm dlrgmt aihsms eo tjm fhtthd 62% hc ets rlonm7

Rrmiedeolry Quppiy; es l jenj vhiudm, we`m sprml` `ly tjlt prhùams l sjhrt-ievm`

rmlateho eo l dlrg up pjlsm. Pjes haaurs shdmtedm fmchrm tjm fuyeon aiedlx lo` es tjm

cerst seno hc suppiy.

Rrhtmatevm Fuy Qthp; ]sm` th jmip ahotrhi ihssms wjmo sjhrteon sthags. Pjm hr`mr es

pilam` lfhvm tjm aurrmot pream hc tjm sthag. Et fmahdms l dlrgmt hr`mr ec tjm sthag trl`mslt hr lfhvm tjm spmaecem` pream.

Rrhtmatevm Qmii Qthp; ]sm` th jmip ahotrhi ihssms wjmo fuyeon sthags. Pjm hr`mr es pilam`

lfhvm tjm aurrmot pream hc tjm sthag. Et fmahdms l dlrgmt hr`mr ec tjm sthag trl`ms lt hr

lfhvm tjm spmaecem` pream.

Vliiy; es l sjhrt-tmrd l`vloam eo tjm pream.

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Vlonm; es tjm èccmrmoam fmtwmmo tjm jenj lo` ihw hc l nevmo `ly.

Vlonm De`; es tjm mxlat de`-pheot fmtwmmo tjm jenj lo` ihw hc l nevmo `ly.

Vlonm Olrrhw (OV); es tjm sdliimr `leiy rlonm rmiltevm th tjm prmvehus `ly.

Vlonm e`m Qprml` (^Q); es lo eoarmlsm` `leiy rlonm rmiltevm th tjm prmvehus `ly.

Vmlateho; es l sjhrt-tmrd `maieom eo tjm pream.

Vmsestloam; es hpphseteho th l`vloaeon preams alusm` fy lo eoarmlsm eo lvleilfim suppiy.

Vmvmrsli; Chur @ly Aihsm (0@AV); Lctmr chur aihsms eo aihsm prhxedety th mlaj htjmr l

(^Q) `ly haaurs wetj l aihsm lfhvm / fmihw tjm prmvehus chur aihsms, Aihsm hc (^Q) sjhui`

fm lfhvm / fmihw hpmoeon lo` De` Vlonm

Vmvmrsli; Pjrmm @ly Aihsm (1@AV); tjm aihsm es lfhvm/fmihw tjm prmvehus tjrmm `lys.

Pjm jenj/ihw es lfhvm/fmihw tjm prmvehus tjrmm `lys. Pjm ihw/jenj es lfhvm/fmihw tjm

ihw/jenj hc tjm ilst tjrmm `lys. Pjm aihsm es lfhvm/fmihw tjm hpmo lo` de`-rlonm wetj l

(^Q) fennmr tjlo tjm lvmrlnm hc tjm ilst tjrmm `lys.

Vmvmrsli; Pjrmm @ly Jenj (1@JV) ; Pjrmm olrrhw rlonm `lys lrm chiihwm` fy l we`m

sprml` `ly aihseon lfhvm/fmihw tjm jenj/ihw hc tjm tjrmm `ly pmreh`. Aihsm dust fm lfhvm

hpmoeon lo` de`-rlonm chr tjm `ly.

Qjlrg; Pwh ahosmautevm Eose`m @ly―s

Qjhrt; L phseteho tjlt smmgs th prhcet ec l dlrgmt `rhps eo vlium, th smii

Qjlgmhut; es l `miefmrltmiy chram` pream rmlateho wjhsm purphsm es tjlt hc steduilteon

pufiea smiieon eo hr`mr th claeietltm tjm laauduilteho hc spmauiltevm phsetehos.

7/21/2019 SPY Quant v 0.01


Qjhw hc Qtrmontj (QHQ); L `maesevm rliiy lctmr l smaho`lry tmst hc tjm ihw, tlgeon tjm

dlrgmt lfhvm tjm jenj hc tjm luthdltea rliiy, usuliiy laahdploem` fy jenjmr vhiudm tjlo

tjm prmvehus rliiems

Qjhw hc ^mlgomss (QH^); L `maesevm frmlg lctmr l smaho`lry tmst hc tjm jenj, tlgeon tjm

dlrgmt fmihw tjm ihw hc tjm luthdltea rmlateho, usuliiy laahdploem` fy jenjmr vhiudmtjlo prmvehus smii hccs

Qpreon; haaurs wjmo pream dhvms fmihw l pevht fhtthd lo` l we`m sprml` rmvmrsli mosums

ls chiihws;

• Pwh prmvehus aihsms lrm rmvmrsm`

• Aihsm es lfhvm pevht fhtthd

• Aihsm es lfhvm hpmoeon lo` de`-rlonm

• @leiy rlonm es nrmltmr tjlo tjm prmvehus `ly―s rlonm.

Qpreon Fhlr`; es l ahoèteho eo tjm pream dhvmdmot hc l dlrgmt tjlt jls ahdpimtm`

prmplrlteho lo` jls fmmo frhunjt th pheot wjmrm tjm dlrgmt dly dhvm eoth l dlrg up hr

dlrg `hwo pmreh`. L spreonfhlr` alo fm rmahnoezm` fy tjm uousuliiy olrrhw trl`m

rmiltevm th tjm prmvehus `ly―s lateho.

Qtmppeon @hwo; Eo l `hwotrmo` wjmo tjm dlrgmt jhi`s sedeilr sihpeon lonims hc

rmsestloam hcc hc suaamssevmiy ihwmr pevht thps wetjeo tjm trmo`, nmomrliiy, tjes eoèaltms lo

laamimrlteho hc tjm mxesteon trmo`.

Qtmppeon ]p; eo lo uptrmo` wjmo tjm dlrgmt jhi`s sedeilr sihpeon lonims hc supphrt hcc hc

suaamssevmiy jenjmr pevht fhtthds wetjeo tjm trmo`, nmomrliiy, tjes eoèaltms lo

laamimrlteho hc tjm mxesteon trmo`.

Qthp Hr`mr; Chr fuys, lo hr`mr pilam` lfhvm tjm aurrmot sthag pream tjlt fmahdms l

dlrgmt hr`mr ec tjm sthag trl`ms lt hr lfhvm tjm hr`mr pream. Chr smiis, lo hr`mr pilam`

fmihw tjm aurrmot pream hc tjm sthag tjlt fmahdms l dlrgmt hr`mr ec tjm dlrgmt trl`ms lt hr

fmihw tjm hr`mr pream. Qthp hr`mrs lrm ohrdliiy usm` th jmip ahotrhi resg fut alo lish fm

usm` th motmr phsetehos.

Qtrmtaj; es `mtmrdeom` fy ihhgeon lt tjm prmvehus tmo `lys lo` lvmrlneon tjm sud hc tjm

èccmrmoam fmtwmmo tjm hpmo chr mlaj `ly lo` tjm aihsmst mxtrmdm th tjm hpmo.

Qtrhon Aihsm; Pjm sthag aihsms wetjeo tjm thp 62% hc ets rlonm7

Quppiy; Rrhùat mxesteon th smii eo tjm dlrgmt

Qupphrt; es hpphseteho th `maieoeon preams alusm` fy lo eoarmlsm eo lvleilfim `mdlo`.

Plei; L pream pmreh` wetj tjm fuig hc tjm trl`m lo` aihsm chr tjm pmreh` ho hom mxtrmdm

wetj vmry iettim trl`m ho tjm htjmr mxtrmdm, syohoydhus wetj Qpegm7 shdmtedms chrdeon

]ptjrusts/Qpreons. Et es tjm prm`mamsshr hc dhst dlkhr rmvmrslis

7/21/2019 SPY Quant v 0.01


Plei Php hr Fhtthd; Pjm dlrgmt aihsms jenjmr /ihwmr chr tjrmm `lys eo tjm thp/fhtthdplrt hc tjm trlèon rlonm.

Pmrdeoli Qjlgmhut; L ahonmsteho lrml tlgeon pilam lfhvm lo` eo tjm veaeoety hc lo

edphrtlot pevht thp tjlt mo`s wetj Qpreon-typm lateho. Pjm rmsuit es lo mxtmosevm lrml hc

laauduilteho wetj ihon-tmrd fuiiesj edpiealtehos.

Pmrdeoli ]ptjrust; L ahonmsteho lrml tlgeon pilam lfhvm lo` eo tjm veaeoety hc lo

edphrtlot pevht thp tjlt mo`s wetj Qpreon-typm lateho. Pjm rmsuit es lo mxtmosevm lrml hc

èstrefuteho wetj ihon-tmrd fmlresj edpiealtehos.

Pjrust; es l ahdplresho fmtwmmo tjm pream èccmrmoams hc suaamssevmiy ihwmr pevht fhtthds.

L rmùateho eo tjm èccmrmoam fmtwmmo pevht fhtthds sjhws l dhdmotud ihss. Lo eoarmlsm

eo tjm èccmrmoam wetj mlaj ihwmr fhtthd sjhws l dhdmotud eoarmlsm. Pjm sldm loliyses

alo fm lppiem` th suaamssevmiy jenjmr pevht thps.

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Prleieon Qthp; L sthp l`kustm` jenjmr chr ihon phsetehos hr ihwmr chr sjhrt phsetehos ls

tjm dlrgmt dhvms eo tjm clvhur hc tjm trl`m. ]sm` th jmip ihag eo prhcets chr wjmo tjm

dlrgmt rmvmrsms.

Prmo` @ly; es l we`m sprml` `ly wetj tjm hpmo lo` tjm aihsm omlr hpphsetm mxtrmdms.

]ptjrust; haaurs wjmo pream dhvms lfhvm l pevht thp lo` l we`m sprml` rmvmrsli mosums

ls chiihws;

•

Pwh prmvehus aihsms lrm rmvmrsm`

• Aihsm es fmihw pevht thp

• Aihsm es fmihw hpmoeon lo` de`-rlonm

• @leiy rlonm es nrmltmr tjlo tjm prmvehus `ly―s rlonm.

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]ptrmo`; L smrems hc jenjmr jenjs lo` jenjmr ihws

^Q0; es l `ly wetj l `leiy rlonm tjlt es ilrnmr tjlo loy `ly―s rlonm rmiltevm th tjm prmvehus

chur `lys

^Q>; es l `ly wetj l `leiy rlonm tjlt es ilrnmr tjlo loy `ly―s rlonm rmiltevm th tjm prmvehus

sex `lys. Et eoèaltms dhdmotud.

Documents

SPY Quant v 0.01