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Michael Bommarito  

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  • Krugman's Affront to Property Rights and Contract Enforcement [View article]
    While I agree that it is a difficult issue from a moral standpoint, I don't see how a widespread consumer credit event could be contained, either (1) across portions of the financial system in the short term or (2) across time through the adjustment of creditor expectations.

    Though the pain that underwater debtors currently face is certainly real and hard to watch, my opinion is that we risk causing more damage to others both now and in the future through institutionalizing such writedowns.
    Oct 31, 2010. 10:51 PM | Likes Like |Link to Comment
  • Holders of U.S. Treasury Securities, 2004-2010 [View article]
    Hi Glen,
    The TIC data has quite a bit of documentation with it. I don't know offhand what the answer to your question is, but I suggest you check the Treasury's site.

    If I had to guess, I would say that the figures are based on whatever location the agent is domiciled in. Therefore, if the Chinese were buying through Belgium or the U.K., it probably would be misleading. Just a guess though, don't take my word on this.
    Oct 28, 2010. 09:47 PM | Likes Like |Link to Comment
  • Update on After-Hours SPY Flash Crash [View article]
    These transactions were all part of the closing auction. I believe their time&sale data is reported by NYSE contingent on the auction process. Though probably not HFT, computer models are certainly used when people submit prices into the auction.
    Oct 19, 2010. 09:39 AM | 2 Likes Like |Link to Comment
  • After-Hours Flash Crash in SPY? [View article]
    I've updated this post significantly on my blog and have asked the editors to update this page. You can read a summary here:
    etf-central.com/2010/1.../
    Oct 18, 2010. 07:44 PM | 1 Like Like |Link to Comment
  • After-Hours Flash Crash in SPY? [View article]
    Please note that I've added an image with the time&sales data to the original post at my blog.
    Oct 18, 2010. 05:45 PM | 2 Likes Like |Link to Comment
  • Who Owns America’s Debt? [View article]
    <img class="authors_reply" src="static.seekingalpha.co...">

    Hello,
    This visual only shows foreign holders of Treasury securities - treas.gov/tic/mfh.txt

    To properly evaluate the internal vs external debt issue, you have to make quite a few choices about what to include. For one example analysis, try this:
    optimist123.com/op...

    I might produce a followup to this including various internal debt sources in the future.

    Thanks,
    Mike
    On Dec 14 09:53 AM American in Paris wrote:

    > Hi Michael,
    >
    > What is the split between domestic and foreign ownership? And how
    > are the splits evolving over time?
    Dec 14, 2009. 10:13 AM | Likes Like |Link to Comment
  • Capitalization Coupling: Major Indices at Correlation Highs [View article]
    These are all from June 2001 to yesterday, and significant to at least p=0.025 again.
    Apr 15, 2008. 03:41 PM | Likes Like |Link to Comment
  • Capitalization Coupling: Major Indices at Correlation Highs [View article]
    Middle of exams here so I don't have time for any stochastic volatility or adaptive models, but feel free to provide any results you find doing so. Here are some more extensive results just under this simple model with non-parametrics for comparison.

    Colums:
    Pearson/Sign Pearson/Spearman Rank/Sign Spearman Rank

    Rows:
    1st: Pearson correlation between return & each correlation
    2nd: Spearman rank correlation between return & each correlation

    Results:

    0-Day (no lag)
    ans =
    -0.0279 -0.0283 -0.0377 -0.0268
    -0.0006 -0.0555 -0.0439 -0.0555

    1-Day
    ans =
    0.0115 0.0147 0.0236 0.0145
    0.0261 0.0224 0.0368 0.0269

    2-Day
    ans =
    0.0010 0.0035 0.0004 0.0029
    0.0015 0.0074 -0.0087 0.0057
    Apr 15, 2008. 03:38 PM | Likes Like |Link to Comment
  • Capitalization Coupling: Major Indices at Correlation Highs [View article]
    Yes, I accept that my suggestion about the trend was not significant under this model, but what I meant to show in my reply was that the opposite was not true either, as you argued. My p-values were all significant at least to the 0.025 level, though I did not record them.

    I would also note that your samples were contained strictly within the local phenomenon that I am trying to explain, and thus not only do they have no chance of demonstrating a difference from prior relationships, but you have an N smaller than mine by an order of magnitude wrt power.
    Apr 14, 2008. 12:29 PM | Likes Like |Link to Comment
  • Capitalization Coupling: Major Indices at Correlation Highs [View article]
    By the way, I'd appreciate links to studies or your own analysis in the future instead of suggestions about tea leaves.
    Apr 13, 2008. 05:46 PM | Likes Like |Link to Comment
  • Capitalization Coupling: Major Indices at Correlation Highs [View article]
    Rudi, are you talking about correlations between assets *within* an index or correlation *between* these specific capitalization-oriente... indexes?

    Both rank and Pearson-product correlations indicate that:
    i) daily R^2 between the average correlation change and return is -1%
    ii) weekly R^2 between the average correlation change and return is 2%
    iii) monthly R^2 between the average correlation change and return is 4%
    iv) quarterly R^2 between the average correlation change and return is 6%

    Which seems to contradict your statement.
    Apr 13, 2008. 05:44 PM | Likes Like |Link to Comment
  • ProShares Ultra and UltraShort Sector ETFs: Does 2 = 2? [View article]
    Also, in response to User 170913, I've used adjusted close values for these calculations, so the dividends are already incorporated.
    Apr 1, 2008. 02:28 PM | Likes Like |Link to Comment
  • ProShares Ultra and UltraShort Sector ETFs: Does 2 = 2? [View article]
    All numbers I use in calculations are cumulative log-returns, so Ben and Cato's comments are not relevant. The bar charts are endpoint cumulative log-return comparisons converted to standard %-return.
    Apr 1, 2008. 02:22 PM | Likes Like |Link to Comment
  • ProShares Ultra and UltraShort Sector ETFs: Does 2 = 2? [View article]
    Roger & 2TallTurk, note that I'm not talking about whether these funds return twice their underlying index's price return. I point readers to the ProShares article on the difference between daily NAV tracking and cumulative price return...

    What I *am* investigating is why the daily NAV return for these fund pairs do not match. That is, the daily NAV return of UYG should be the negative of the daily NAV return of SKF.

    2TallTurk, note that I readily accept tracking error from portfolio construction. These ProShares funds have done well considering that the difficulty of matching the magnitude of returns lately. I was merely investigating alternative reasons for the imbalance.
    Mar 31, 2008. 11:06 PM | Likes Like |Link to Comment
  • Building a Long-Volatility ETF Portfolio [View article]
    There's a typo/word omission in there - you should *hold* equal amounts of SDS and SSO, though you should hold SDS long and SSO short.

    hillcrest, I almost always calculate log-return, and so the left-scale is cumulative log-return. Log-return is nearly identical to standard return for small values, but diverges for larger returns. A 100% increase is log(1+1) = log(2) = 0.6931 in log-return, whereas this would simply be 1.0 for price return. The difference has to do with the utility of returns, and although there isn't a strictly correct answer, many sophisticated calculations are much cleaner in log-return.
    Feb 6, 2008. 09:03 PM | Likes Like |Link to Comment
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