factor shares

ib is offering its customers commision-free trades on factorshares spread etfs. this looks really interesting: diy hedge fund with asset classes. trying to figure out how the funds operate, based on the holdings info from their website... each of the 5 has basically $3m in treasuries, $2m in cash, and a thousand in a treasury fund. each one then takes a position in nearest future contract (long and short) for the two spread assets, for 2x the nav/share * 100k shares/unit * 2 units (currently). the treasuries are probably to offset the time discount on the futures contracts, and that and the cash are for margin, obviously. the fund is probably for a little bit of liquidity during the daily rebalance. i'm guessing the nav comes from the $5m risk free + net market value of the futures. the nav/share doesn't exactly match the price, probably given the constraints of the contract sizes and maybe the lower liquidity of the etf at the moment. the futures holdings are updated daily, to restore dollar neutrality (same forward contract dollar amounts). for the current number of shares and risk-free holdings, the funds basically started at $25/share. the s&p e minis are apparently for lots of 50. the 30yr tbill futures are for lots of 100. the 5 etfs are s&p/tbill, tbill/s&p, s&p/usd, oil/s&p, gold/s&p, where each is bull/bear. 2x leverage on each leg, for a 4x total leverage (but still just 2x on the spread). right now the volume is pretty light, around 10k/day, since they just lauched a few weeks ago. i wonder if there is any arbitrage opportunity for these, knowing their methodology. especially for s&p/tbill vs. tbill/s&p. does the rebalance accumulate anything based on independent underlying price movements? no, because all the money gained from selling an advancing future is put into the one that declined, and the same thing will happen at the end of the next day. but if i rebalance between these, it will. i'm just not sure if it's any better than just rebalancing among 2x single asset funds, unless you think they're anticorrelated instead of just uncorrelated. maybe it has the advantage of not needing to rebalance with cash, like single funds would. one thing maybe i can try is to arb the s&p/tbill vs. tbill/s&p like this: right now fse has 139 emini and -71 tbill, and fsa has -177 emini and 91 tbill. closing for fse was $22.57 and fsa was 28.18. if i could buy 177/139 fse it would cost 28.74, or 91/71 would cost 28.92. so if i had some of each, i could have sold fse and bought fsa near the end of the day, eg sell 9 fse for 203.13 and buy 7 fsa for 197.26. that would be selling a share of 1251 emini, -639 tbill and buying a share of -1239, 637. so the net would be 42, -2. nav calculation time is based on the first of the futures contracts to settle: s&b/tbond 3pm (ET) tbond/s&p 3pm s&p/usd 3pm oil/s&p 2:30pm gold/s&p 1:30pm the nav must depend on the price of the futures and what exposure they can be rebalanced to. futures prices might not be as easy to come by, so maybe i could compare to other leveraged etfs like sso, sds, dgl (or iau/gld (not leveraged) or dgp/dzz (monthly, not daily)), dbo (or dig?, uso, oil), tlt (not leveraged), tbt (or pst? no), udn (not leveraged) (or uup, not leveraged and bull instead of bear but much higher volume) (these only use dx contracts, not front month). this wouldn't necessarily be perfect since nav can deviate from price, but it should be close for the heavily traded ones. here's a good ref list for leveraged etfs