Seeking Alpha

Diego Montalbon...'s  Instablog

Diego Montalbon, raconteur
Send Message
Diego Montalbon is a pen name.
View Diego Montalbon, raconteur's Instablogs on:
  • Hedging Equity Portfolios By Being Long SPY Volatility Does Not Always Work

    Hedging equity portfolios by being long volatility does not always work.^VIX&ql=0


    -Chicago Options

    (1.67%) 1:21PM EDT

    iPath S&P 500 VIX ST Futures ETN (NYSEARCA:VXX)


    (-0.98%) 1:21PM EDT - Nasdaq Real Time Price



    (-0.23%) 1:21PM EDT - Nasdaq Real Time Price

    Disclosure: I am long SPY.

    Tags: VXX, SPY
    Aug 05 1:52 PM | Link | Comment!
  • Pimco's April 2012 Viewpoint Duration Ditty Makes A Debatable Point.

    William G. De Leon & Ravi K. Mattu penned a duration ditty for Pimco's April 2012 Viewpoint Series:

    "Decoding Duration To Better Understand Your Portfolio"

    This standard MBA level coursework post on duration has one statement that lacks robustness.

    Ironically, under the heading of "Duration Isn't So Simple" the authors say that one of their four most important factors in assessing interest rate risk is ; "Bonds with default risk have a shorter duration than that implied by their stated maturity."

    This last statement ignores bankruptcies or restructurings that lead to longer duration lower coupon debt replacements and it ignores debt re-structured into equity whose duration is arguably much longer than any of the firm's debt. Of course, junk rated issuers, who are by default the most prevalent cohort for these re-structuring/bankruptcy event prone issues, one could argue their equity duration will be much shorter than that of equity in general.

    Apr 26 10:02 AM | Link | 2 Comments
Full index of posts »
Latest Followers

Latest Comments

Instablogs are Seeking Alpha's free blogging platform customized for finance, with instant set up and exposure to millions of readers interested in the financial markets. Publish your own instablog in minutes.