short ETF forecast workshop

Dr. Warren Huang, Founder, OSA, USA wh3928@yahoo.com    www.osawh.com

                                                                                                                                                           Abstract

This paper demonstrated Huang’30 years pioneering proactive structural behavior arbitrage assets ( equities, bond, commodities, housing ) pricing mechanism research, teaching, consulting for China , Taiwan, US 15 cities 30 million   high net worth individual and institutional investors, fund managers through integrating last 30 years macro, financial , industrial economic and investors daily trading volume ( confidence ) data into real time   stock indices and its component portfolios earning performance, stock prices and commodities , housing price mechanism Operations Simulations Analysis (OSA).
These asset prices simulators have been used for tracking   global central banks monetary, economic, fiscal policy ,   financial systemic stability risks , Basel II Risk, corporate scandals applications . It quantify and compensate financial system and specific noise ( uncertainties), identify the real time global financial, housing, commodities market asset prices bubbles   deferential due to speculation resulted mispricing ( over and underpricing in interest rate, currency, inflation, housing, equities price bubbles and earning announcement ) in last 20 years global mortgage, credit, financial crisis, economic recession systemic risks , corporate scandals cycle months, years ahead of the emerging boom and bust, bull, bear market trend to maximize risks adjusted strategic indexing ETF arbitrage return for global asset allocation . These Proactive APT simulator compensate current APT and CAPM systemic noise due to betting on the wrong side of monetary policy, interest rate impact on assets price.

Huang extended proactive structural OSA arbitrage asset pricing to macro, financial, industrial econometrics integration into real time investors speculation behaviors tracking misprcing (over and underprice) through Exponential GARCH estimation and Granger causes, consequences co-integration . It simulate US Fed monetary, economic, fiscal policy rate cuts, bail out, credit , financial crisis recession impact on dollar currency, unemployment, inflation, interest rate on housing price, mortgage default , financial crisis, consumer, business demand impact on economic recession, oil, commodities, metal asset price mechanism and Dow Jones, NASDAQ, S&P 500 index, its banking, finance, high tech, retail energy, biotech component stocks earning, performances.,
He warned on 2007 Peking university International financial engineering risk management June 2007 and on Wall Street Journal   Market beat blog since Sept. 2007 and March 5, 2008 on China Fund World 2008, Shanghai Conference that US housing price slump , credit crisis continue into first half 2009 ,lead to consumer, business spending plunge 3.5 %, ISM and consumer confidence drop to 36, jobless rate soared to 7- 8 % repeating 1980 style double dip recession, with banking, finance, housing investment banks loss trillion dollars MBS, CDO, hedge fund writedown, banking, finance, mortgage stock down   70- 90 %, drag US and global stock   50-70 % bear markets correction, S&P and Dow Jones, NASDAQ plunge 50 % , Dow entering 7000- 8000, NASDAQ entering 1200- 1500, SP 500 entering 700- 800 recession trading range starting Dec 2008 through early 2009 ( Taiwan, Hong Kong, India stock indices down 70 %) in recession bear market correction and the overpricing of US high flier Google, Apple, Goldman Sach, China PetroChina, Sinopec, and Bear Stearn 29 billion hedge fund failure , rescue Fannie Mae, Freddie Mac , Lehman, AIG , Citigroup mortgage , credit crisis, with average error below 1.5 %, correlation over 0.98.
This work also extend proactive arbitrage pricing into financial market behavior , tracking forecast by introducing stock indices and stocks trading volume ( investor confidence) relationship into price, return forecast with correlation constant greater 0.98 , average error below 2 %
S & P 500 E-mini future hedging strategy   http://www.optionsxpress.com/welcome/tour/trade/futures/sp500.aspx?SessionID=
Keyword:   emerging market   behavior finance   arbitrage assets prices bubble, financial crisis    US mortgage default    corporate   scandals     ETF indexing arbitrage   , systemic noise risks   global stock indices   trade volume/price relations

Dr. Warren Huang (黃華南博士) Pioneer, proactive structural dynamic global inflation, macro economy, daily financial markets interest rates, currency, stock, bond, derivatives, housing, commodities, oil asset pricing and risks valuation markets fundamentals price mechanism, accurately warned on Wall Street Journal Market beat Blog Sept.19, 2007 and Mar 5, 2008 masterclass workshop China fund world 2008, Pudong, China to Goldman Sach managing directors JPM, UBS and 150 China QDII/QFII fund managers that US Fed aggressive rate cuts drag dollar to 1.53-1.65 EURO, 95- 108 Yen, economic stimulus boost consumer spending on gasoline and jet fuel summer, demand, driving gasoline , heating oil to 415, oil price to 121-145, commodity price double, will peak out as US dollar rebound follow Fed ending rate cuts cycle , can not stop sub-prime crisis spreading, regional housing price slump 30-50 % and credit crisis, crunch crisis continue through 2009 drag economy into 2009 repeating 1980 double dip inflationary recession resulted trillion housing and stock market loss and US, global stock indices and oil, commodities , metals price bubble burst bear market 50-70 % , Dow Jones test 6000- 7000 NASDAQ PLUNGE testing 1100-1250- and high fliers (GOOG, PTR, AAPL) , IT, retail stocks facing 50-- 70 % correction, with banking, finance, housing share price plunge 70- 90 %, dollar making to new low 85- 90 Yen, commodity prices doubled, and bubble burst plunge 50-70 % % in recession widening bond , CDS spread and failure in MBS/CDO, Bear Stearn 30 billion dollar MBS hedge fund and government steps rescue, Lehaman bankruptcy, Fannie Mae, Freddie Mac AIG,bail out, despite Fed rate cuts . , oil price plunge from 147 to 40, copper plunged from 350 to 115, corn from 600 to 350, He also warned top global QFII management on Peking Univ June 2007 International Financial Engineering Conference that China overheated housing, stock market wealth gain resulted inflation over 8.7 % will lead to China Peoples Bank credit tightening to remove excessive liquidity, Banking housing, stock markets follow US housing price slump, recession, bear market correction, and China 568 billion infrastructure rogam maintain 2009 GDP at 8 % and stbilize stock markets, Shanghai traded 1500- 2100 through 2008- 09 early 2009 until economy softlanding
China is suffering from housing market overheating, with 300 % gain in housing prices still up 0.5 % , FIXED investment , consumer spending still up 22 %, first 9 month GDP still up 9.9 %, CPI drop to 2.4% in Oct.2008 % after China peoples Bank 6 rate hikes, 16 bank deposit rat hike to 17.5 %. China need to further cut its M2 money supply growth from 15 % to 12 %start rate cuts to support 2009 growth while next year to achieve housing price cut of 30 %, CPI to 3 %, GDP to 8 % to achieve soft landing and start of bull market stock rally

Dr. Huang will be the keynote speaker for EUROMONEYs China derivatives market conference March 24-25, Shanghai 2009 to speak on 2009 China/US economic/Capital market, oil, commodity market outlook and Challenges, opportunities in China/global onshore, offshore derivative markets

Comment by Warren Huang -Wall Street Journal Market Beat Blog December 30, 2008 at 3:08 pm
From my tracking of last 30 years global super housing bubble burst resulted deep recession impact on stock market receovery, We are not even through the worst of housing slump, the recession yet, It is premature to talk about market bottom and recovery.
Stock market must have another 25 % plunge to reflect the depth of housing slump and recession due to plunging consumer, business spending, continued housing slump, soaring jobless rate ,which will be around next April.Dow Jones will be around 6000, SP around 600, NASDAQ be 1100.
we will see market bottoming out from there, until more concrete result from OBAMA’s job creation to stop economy, housing market decline.
the stock will be creeping up from bottom 40 % to 8500 for Dow, 800 for SP500.
There will be no V-shape recovery for housing, nor, economy, nor atock markets. details on www.osawh.com/SP500.htm
www.osawh.com/mortdefa.htm www.osawh.com/macro.html

Comment by Warren Huang - November 5, 2008 at 7:43pm
I kept warning on this blog that market speculators ignoring plunging housing prices, consumer , business spending and confidence, ISM index and soaring job cuts, drag economy deeper into recession still using US stock are cheap to making election and yearend rally will give up all their gain return to 8000- 9000 for consolidation, back and filling.
Despite global rate cuts, trillion dollar bail out, global stocks will be drag by recession into further bear market correction.
details on www.osawh.com/mortdefa.htm www.osawh.com/SP500.htm www.osawh.com/recession.html
Comment by Warren Huang , Wall Street Journal Real Time Economics Blog- October 17, 2008 at 10:05 pm

US Sept. consumer confidence plunge to 38, ISM manufacturing purchaser index plunge to 43 and jobless rate to 6.1 % and Dow Jones plunged 40 % third quarter GDP contract 0.3 %core inflation up 2.9 %, warned, predict by me Sept. 2007 on this blog that US housing slump continue , will entering double dip inflationary recession 3Q 2008 despite rate cuts, stimulus, bail out plan and extends into deeper recession contracting by 2 % in $Q 2008 and 1Q 2009, resulted by full impact o business, consumer spending decline due to 6.5 % jobless and 20 % housing slump, 40 % stocks market loss
The real causes of current mortgage, credit, financial crisis and recession are due to poor financial, monetary policy decision modeling in asset pricing and risks valuation mechanism, MBS, CDO , the burst of super housing, commodities asset price bubbles caused by 7 year longest expansive excessive money supply, easy credit policy .
Global central banks, financial markets financial decision still rely on 30 year old probabilistic, statistical Capital Market Asset Pricing (CAPM) and macroeconomic modeling, ignoring asset price impact on inflation and financial, housing , MBS, CDO prices.
Predicted by Dr. Warren Huang, pioneer of Proactive Global Asset Pricing Mechanism , June 2007 , Beijing, Wall Street Journal Economic, Market Beat
Blog Aug.2007 and March 5, 2008 Pudong, China Fund World 2008 to 200 global top investment banking, fund managers that Global Housing price bubble burst, prices plunge 30 % into 2009, drag global economy into recession and stocks bond, oil, commodities, metals ,Derivative Asset Prices Bubbles Burst with 50 % Price Correction Cause Credit, Financial Crisis and Economic Recession, ( As Dow Jones, SP 500, NASDAQ drag global stock indices plunged more than 50 % into 2002 recession low ,( Dow Jones after current consolidate in 8000- 9000 will test 7000, NASDAQ test 1250, S&P test 700 low, oil price plunged 55 % from 147 to 64，Gas oil from1300 to 600 , corn from 800 to 350, cotton from 80 to 43 , gold from 1050 to 650 as global economy enter deep recession by year end, despite US 700 billion and ECB 2.3 trillion bail out to stabilize credit crisis

details on www.osawh.com/Fedcrisab.htm www.osawh.com/mortdefa.htm www.osawh.com/commody.html www.osawh.com/centmaf.html

Dr. Warren Huang (黃華南博士) Pioneer, proactive structural dynamic global inflation, macro economy, daily financial markets interest rates, currency, stock, bond, derivatives, housing, commodities, oil asset pricing and risks valuation markets fundamentals price mechanism, accurately warned on Wall Street Journal Market beat Blog Sept.19, 2007 and Mar 5, 2008 masterclass workshop China fund world 2008, Pudong, China to Goldman Sach managing directors JPM, UBS and 150 China QDII/QFII fund managers that US Fed aggressive rate cuts drag dollar to 1.53-1.65 EURO, 95- 108 Yen, economic stimulus boost consumer spending on gasoline and jet fuel summer, demand, driving gasoline , heating oil to 415, oil price to 121-145, commodity price double, will peak out as US dollar rebound follow Fed ending rate cuts cycle , can not stop sub-prime crisis spreading, regional housing price slump 30-50 % and credit crisis, crunch crisis continue through 2009 drag economy into 2009 double dip inflationary recession resulted trillion housing and stock market loss and US, global stock indices bear market 50 % , Dow Jones test 7000- 8000 NASDAQ PLUNGE testing 1250- 1500 and high fliers (GOOG, PTR, AAPL) , IT, retail stocks facing correction, with banking, finance, housing share price plunge 70- 90 %, dollar making to new low 90 Yen, commodity prices doubled, and bubble burst plunge 50 % in recession widening bond , CDS spread and failure in MBS/CDO, Bear Stearn 30 billion dollar MBS hedge fund and government steps rescue Fannie Mae, Freddie Mac bail out, despite Fed rate cuts . He also warned top global QFII management on Peking Univ June 2007 International Financial Engineering Conference that China overheated housing, stock market wealth gain resulted inflation over 8.7 % will lead to China Peoples Bank credit tightening to remove excessive liquidity, Banking housing, stock markets follow US housing price slump, recession, bear market correction, with Shanghai A testing 1800 through early 2009 until economy softlanding
China is suffering from housing market overheating, with 300 % gain in housing prices still up 3.5 % , FIXED investment , export growth and consumer spending still up 26 %, first 9 month GDP still up 9.9 %, CPI up 7 % despite China peoples Bank 6 rate hikes, 16 bank deposit rat hike to 17.5 %. China need to further cut its M2 money supply growth from 15 % to 12 % next year to achieve housing price cut of 30 %, CPI to 4 %, GDP to 8 % to achieve soft landing and start of bull market stock rally.