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Robert Zingale  

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  • 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
  • J.C. Penney $900M Stock Buyback: Driven by Management's Personal Interests? [View article]
    Mutual funds would still be cognizant of after-tax returns for their clients during a traditional progressive tax regime. Additionally, the tax-free entities which you mentioned would not influence stock prices as much as hedge funds, investment banks, etc. because by their investment policy statements must maintain certain asset allocation strategies and have limits to what they can invest in. Therefore, entities like hedge funds, which control vast amounts of high-net-worth individual wealth (approximately $2 trillion), drive much volume in the market as they can pick and choose what to buy / sell more freely. Since these entities can choose to be 100% cash and then jump back into equity, then it really matters who their clientele are when they are choosing which equities to buy. Although endowments and pensions have been investing more into hedge funds, the amount is a smaller portion of their total portfolio due to their investment policy constraints.
    Oct 28, 2011. 11:40 PM | Likes Like |Link to Comment
  • J.C. Penney $900M Stock Buyback: Driven by Management's Personal Interests? [View article]
    Crunching Numbers - You are correct that until 2012, dividends receive favorable tax treatments and can actually be lower than capital gains depending on your tax bracket. However, I am operating under the assumption that management is basing decisions on the dividend tax relief reforms to only be temporary and is looking at their capital structure on a long-term horizon.

    Therefore, after the dividend relief era, lower income bracket individuals would continue to be indifferent between dividends and capital gains, however, High-Net-Worth individuals, who are largely responsible for driving stock prices, would no longer find a high dividend payer attractive.

    Thanks for your feedback!
    Oct 27, 2011. 03:28 PM | Likes Like |Link to Comment
  • Vectren Corp Options: An Attractive Income Play [View article]
    Good feedback. I completely agree with you on your commentary about the lack of liquidity and low premium issues. You would need to have an attractive commission structure (like interactive brokers) to make this trade work. Additionally, you are correct that you would not be able to execute a market order to get the $0.20 premium. However, due to the amount of open interest at the $30 strike (highest out of any of the strikes for December) and the last trade was at $0.25, I thought there would a decent chance of getting a premium at the mid-quote.

    COP isn't bad but I don't know if the risk-reward trade off is as attractive vs. VVC given the amount of volatility in oil prices and COP sensitivity to those movements. However, given the constraints on the VVC trade it would be a good alternative for sure.
    Oct 27, 2011. 12:38 PM | Likes 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
  • Why You Need TIPS in Your Retirement Account [View article]
    That is what everyone thought Greenspan would do when he sent the Fed Funds rate to 1%, but in hindsight, it seems that he left rates too low for too long. I lean toward a monetarist view of the economic cycle. I do not believe that the Federal Reserve has perfect foresight into how to set interest rates and the monetary base. Your idea that it is that easy to unwind that much money is too simplistic. If unemployment and the general economy remain sluggish, they will not have an incentive to sell back the Treasuries that they previously bought. Maybe they will time it exactly right, and inflation will not be that bad. However, if you are wrong about your beliefs about the abilities of the Federal Reserve, then you stand the possibility of losing much more than I do if I am wrong.

    On Sep 21 07:20 AM VennData wrote:

    > You claim that you do not believe the Fed can buy in a bunch of cash
    > with all the bonds they have? Why not?
    > They just go and buy the bonds. It's simple, really. They sold
    > all the cash into the market. They are independent, why not buy
    > it all back in?
    > The fact there there's more money is a simple problem of scale.
    > But they have the bonds and the banks have most of this cash in reserves
    > AT THE FED.
    > TIPs are an excellent counter weight to equities in your asset allocation,
    > but the Fed can adjust the monetary base at will.
    Sep 21, 2009. 10:37 PM | Likes 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
  • DJP: An Alternative Investment in Commodities [View article]
    Some of the images seemed to have gotten messed up. Here is a link that can take you to the fund's prospectus and info sheet. There you can look at the historical returns of DJAIGTR and the composition of the index.

    Apr 13, 2009. 12:11 PM | Likes Like |Link to Comment
  • Oil/Gold Arbitrage Opportunity [View article]
    Yea I am not seeing that either. When I refer to demand and supply this can mean futures contracts as well. This can also incorporate speculation and whatever else you would like to call it. All this means is that it is not entirely monetary influenced.

    As for my strategy it has worked out extremely well since I've enacted it at the start of trading of Monday. I am up 6.64% in about two days. The relationship between gold and oil has closed down to (138.75/978.700) or .141770.

    What has happened is that the demand and supply portion of oil's price has fallen simultaneously with a further future dilution of the dollar created by the moral hazard of the government willingness to bail out failing companies. Their role is going to be to loan large amounts of capital to failing companies at artificially low interest rates. This further fear has supported gold's price. This is exactly what I expected to happen in my ideal situation.

    The other situation that I thought would cause this ratio to come further together would be a price spiral in oil which would cause such a sudden economic downturn and further financial instability that it would continue to dilute the dollar as a result of the Fed continuing to print money in order to combat these issues. This would likely cause gold to be revalued to historical levels to oil as the dollar would weaken and demand and supply of oil would be severely comprised.

    I hope someone took this position and thought my reasoning presented them with a healthy risk adjusted return during a market where that is scarce.
    Jul 15, 2008. 07:26 PM | Likes Like |Link to Comment
  • Oil/Gold Arbitrage Opportunity [View article]
    I understand the problem with using a long time series like I did to show correlation. However, I originally used percentages like you advised. These did not yield desirables results either. It actually did not prove an inverse relationship between CPI and Unemployment. I downloaded all of these time series from the Fed as well so I know that they are sound. What other suggestions might you have to get a more accurate reading? I am eager to learn.

    However, the main assumption drawn between the Gold and Oil parity was from comparing their prices. If loose monetary influence is the only influence in driving these commodities, then this ratio would not be up to .15.

    Also, to be financially correct this is probably more close to a cross hedge on the U.S. dollar. True arbitrage opportunities only exist for a short while until it is traded away. This is not an arbitrage opportunity. You are correct.

    Jul 14, 2008. 08:15 PM | Likes Like |Link to Comment