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Robert Zingale

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  • An Almost Risk-Free Way For Annual Return Of 50%+ [View article]
    Max drawdown is a measure from peak to trough. Therefore, Blix is correct that this strategy is much riskier than you are implying.

    When I wrote an article about a similar strategy back in 2009, I was contacted by hedge fund performing this. They said the biggest problem that you run into is the shares are really difficult and expensive to borrow. I don't think they are still doing the strategy anymore either.
    Dec 15, 2012. 01:50 PM | 7 Likes Like |Link to Comment
  • Predicting VXX Intraday Price Movements [View article]
    This strategy wouldn't trigger the day trading rules because the n-count of trades are lower. If you'd like to see how I manage longer term positions in volatility, check out this article.

    I started using this technique beginning in 2012 when I got burned from backwardation during the craziness of August and September 2011.
    May 16, 2012. 03:06 PM | 2 Likes Like |Link to Comment
  • Predicting VXX Intraday Price Movements [View article]
    Yes sorry if I was not clear. What RVijay007 said is accurate.
    May 14, 2012. 02:17 AM | 2 Likes Like |Link to Comment
  • iPath S&P 500 VIX: Time To Prepare For Bearish Trading [View article]
    This strategy will get slaughtered during epic rises in VXX, which occur more frequently than you think (%s represent trough to peak over the same period of trading days in which you are selling these calls):
    * Summer 2006 (61%)
    * Spring 2007 (40%)
    * Summer 2007 (98%)
    * Winter 2007 (46%)
    * Fall 2008 (343%)
    * Summer 2010 (86%)
    * Spring 2011 (36%)
    * Fall 2011 (182%)

    Selling VXX calls before the Fiscal Cliff seems like risk seeking behavior.
    Dec 11, 2012. 02:38 PM | 1 Like Like |Link to Comment
  • Predicting VXX Intraday Price Movements [View article]
    Yep not all. Intraday trades aren't really affected by contango or roll yield.
    May 15, 2012. 12:55 AM | 1 Like Like |Link to Comment
  • Contango And Backwardation's Relationship To VIX Futures Convergence [View article]
    Interesting you asked that. I am running analyses on that right now. I will post my article with my findings once complete.
    Apr 25, 2012. 11:43 AM | 1 Like Like |Link to Comment
  • Debunking The '100 Minus Your Age' Rule Of Thumb [View article]
    All I meant by my first sentence is that by only using one input to forecast (like expected ERP into CAPM), you can seriously bias your asset allocation decision making, because you are going to likely be incorrect when forecasting for such a long period of time. Being off by 1% for 50 years makes a huge difference.

    Therefore, instead of trying to predict the future with incorrect expectations, the point of this article was to replay the past to show a range of outcomes had the past played out differently. That way there is no bias from incorrect forecasting and you are not simply backsolving strategies based on what actually happened during the past 50 years.

    If I knew that the ERP on stock would be 20% going forward for 50 years, then an all stock portfolio would obviously make the most sense.

    I also don't see how analogy to sunk cost makes sense here. Most forecasting in general uses historical data as some sort of an input that gets adjusted with personal discretion for future decision making. Although often flawed, that is common.
    Jan 26, 2012. 10:58 PM | 1 Like Like |Link to Comment
  • Debunking The '100 Minus Your Age' Rule Of Thumb [View article]
    That is my next simulation to run. I was going to use conditional probabilities to buy more during dips and sell during run ups in the market.
    Jan 26, 2012. 07:56 PM | 1 Like Like |Link to Comment
  • New Strategic Volatility ETF Concept Shows More Promise Than Volatility ETF [View article]
    Hey good catch! I actually meant to write VXV for the 3-month volatility index, which is the comparable spot index to the VIX but I did not mean to write XVX. XVX should be VXV. Too many tickers with V and X in this article.
    Nov 23, 2011. 05:46 PM | 1 Like Like |Link to Comment
  • New Strategic Volatility ETF Concept Shows More Promise Than Volatility ETF [View article]
    It assumes daily rebalancing at the end of each trading day based on the premium or discount. Obviously transaction costs can become significant if you are working with a small amount of capital. To decrease costs, you may want to wait until your allocation diverges too far (5%) from the strategic allocation weights.
    Nov 6, 2011. 10:36 PM | 1 Like Like |Link to Comment
  • New Strategic Volatility ETF Concept Shows More Promise Than Volatility ETF [View article]
    Hey thanks for the feedback. I'll respond to you comments in sequence below.

    (1) Point taken. However, as long as Treasuries remain safe-haven assets, the relationship will continue in the future. At the time Treasuries are no longer safe-haven assets, then they should be replaced with the assets that are.
    (2) I completely agree with you here. I am going to follow up with another article that shows the optimal portfolio to hold this strategy in. A mix of stocks and my strategy would create a higher Sharpe Ratio than my strategy alone.
    (3) I always like testing out of sample for data validation but there is only reliable futures data back to December 2005. I needed to incorporate several different volatility periods to make a more robust strategy. I look forward to testing this going forward as I will have to use that as the out of sample data.

    I downloaded all of my VIX futures data from CBOE Micro Site and used VBA and Index(matching,matching) in excel to organize all of the data.
    Nov 4, 2011. 12:22 PM | 1 Like Like |Link to Comment
  • New Strategic Volatility ETF Concept Shows More Promise Than Volatility ETF [View article]
    Well you don't hold IEF under all scenarios. My strategy would have reduced exposure to Treasuries during the extremes of the US debt downgrade and 2008 US financial crisis. I'd assume that a similar volatility spike would occur if there was serious concern of a US default and this would likely result again in the current month's VIX future being significantly above the next month's VIX future contract.
    Nov 3, 2011. 08:44 PM | 1 Like Like |Link to Comment
  • Why You Need TIPS in Your Retirement Account [View article]
    Old Trader, your point is well taken. However, the most gaming by the government is done in the housing category. They like to use renters equivalent in the CPI index instead of a broad housing price index like the Case-Shiller Index. I do not think that the excess money will be pumped back into housing this time, so I think the effects of inflation will be felt in the CPI index. You are exactly right about the gaming. If you replace the renters equivalent measurement with the Case-Shiller index, inflation would have averaged around 1% more each year since 2003. I had the exact number and graph, but my other computer crashed. The calculation can easily been done if you are interested in doing it yourself. I do think the government does game CPI with the renters equivalent and hedonic pricing measures that they use. At the same time, TIPS are an efficient way of protecting your money. You don't have to put all of your money in them of course.

    On Sep 21 08:24 PM Old Trader wrote:

    > Given all of the reasons that its in the government's interest to
    > "game the system", when it comes to computing the rate of inflation,
    > I wouldn't be terribly comfortable pinning all of my inflation "protection"
    > on a slug of TIPs in my portfolio.
    Sep 21, 2009. 10:47 PM | 1 Like Like |Link to Comment
  • Arbitrage Opportunity in Ultra ETFs [View article]
    Luck-O-Irish I see what you are saying about the exposure. I was originally just looking at the asset allocations within the ETF to construct the portfolio and forgot how the returns on SSO are actually not completely covered under my article. It would be better to replace the $100 with only $75. This would still leave the strategy at a 28.15% return when I wrote the article.

    As for what you are saying about the cash not being free, you may be completely right. I have not attempted to complete this transaction yet.
    May 6, 2009. 01:00 PM | 1 Like Like |Link to Comment
  • Debunking The '100 Minus Your Age' Rule Of Thumb [View article]
    The simulation chose the 5-yr periods without replacement. I was thinking of the returns from a go-forward perspective, but I could've adjusted for inflation.

    Thanks for reading.
    Mar 31, 2014. 07:54 PM | Likes Like |Link to Comment