HOUSTON--(BUSINESS WIRE)--After more than 25 years of private and exclusive license agreements, Lohman Econometrics has announced plans to launch its first commercially available analytic and data management software.
The program, known internally as Warehouse_41, contains a library of more than 50 proprietary models and indicators, as well as an extensive suite of analytic and predictive tools for use in top-down macro-oriented trading strategies. In total, the database contains more than 500 proprietary variables and over 5,000 financial and economic time series, all of which update in real-time. The data management system is compatible with most database formats and supports direct feeds from service providers such as Bloomberg Professional.
“There’s no shortage of products that push tick data and offer the same set of canned indicators,” Mr. Lohman said. “What’s different about the Warehouse, in addition to the proprietary data, is the uniqueness of the analytics. New tools and indicators are constantly being added that are applicable to the current environment. In fact, that’s why I started building models and writing software when I began my career as a floor trader in the early 90s.” A few examples include:
- Economic Surprise Models (1997)
- Event Driven Structured Query Analysis (1999)
- Intraday Risk Model (2006)
- Fed Balance Sheet Analog (2009)
- POMO Release Submitted/Accepted Ratio (2010)
Most of the longer-term macro models, such as the Liquidity Indicator and Long-Short Duration Model, have been in real-time use for over 25 years with minimal revisions and no loss in signal strength.
Prior to this launch, the research and technology held by Lohman Econometrics was limited to endeavors with which Mr. Lohman was a direct owner, partner, or closely affiliated. In his role as Quantitative Strategist for Garcia Hamilton and Associates over the last 15 years, Mr. Lohman’s fixed income models played an integral role in the firm’s excess total returns and asset growth.
His recent resignation from the firm was driven by his desire to focus exclusively on Lohman Econometrics. “I’m looking forward to seeing the software and data reach a wider and certainly more sophisticated group of users,” he adds. “Innovation is positively correlated with the number of what-ifs being considered. With beta participants such as Tyler Durden(s) at Zero Hedge and Lance Roberts at Real Investment Advice, that shouldn’t be a problem.”