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Dan Mikulskis

Dan Mikulskis
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  • You Can't Avoid Asset Allocation... Even If You Try [View article]
    nice article, spot on
    Mar 24, 2014. 07:26 AM | Likes Like |Link to Comment
  • How Not To Trade Volatility ETPs [View article]
    nice article, thanks
    Aug 7, 2013. 11:37 AM | Likes Like |Link to Comment
  • The S&P 500 Is Nowhere Near Its All-Time High [View article]
    ...and the situation is even uglier if you look at the FTSE 100 or Eurostoxx, which are even further behind inflation-adjusted highs
    Mar 29, 2013. 12:38 PM | Likes Like |Link to Comment
  • The S&P 500 Is Nowhere Near Its All-Time High [View article]
    I think this is a relevant point to be making, but I agree with Moosecrakcers - you can't dismiss dividends so easily.

    One relatively easy way to take this into account is using the S&P 500 total return index. This assumes that dividends are re-invested, admittedly this may not necessarily be true but its better than ignoring them completely.

    The March 2000 S&P high was equivalent to the total return index level of 2080, applying your inflation adjustment gives an inflation adjusted high of 2807, compared to a closing value on March 28th this year of 2770.

    So even taking into account dividends the real return is still negative since 2000.
    Mar 29, 2013. 12:35 PM | Likes Like |Link to Comment
  • The "vol tourists" are piling into the Inverse VIX Short-Term ETN (XIV), says Chris Cole, not really understanding it, but liking the price action (up) and believing the "Fed will always have their back." The "tourists" may get burned at some point, but for the moment, the XIV is providing another way for those betting on turbulence to lose money - demand to borrow the shares is soaring. [View news story]
    haha - I like the expression "vol tourists", very apt.

    Overall central bank action has contributed to the low level of the VIX, for sure. but I can easily see a 10-15% equity correction coupled with a 15+ vol spike in the VIX even within this environment of central bank easing - central banks mandates aren't directly related to equity markets or vol markets.
    Mar 28, 2013. 02:42 PM | Likes Like |Link to Comment
  • Is Italy Echoing The April-May 2012 Correction? [View article]
    I agree that we'll see a potentially severe correction sometime this year and its right to be on the lookout for the catalyst : Cyprus had the potential to be that.

    However as you say absolute price moves have not resembled the May 2012 move, nor have the various volatility indices : VSTOXX saw a small uptick but VIX and VFTSE have hardly moved. CVIX remains slightly elevated but hasn't jumped.

    The main point is that Italian and Spanish 2yr yields have hardly budged from their low levels of circa 2% (compared to 4-5% in May last year). The funding crisis in the majority of Europe continues to appear under control, for now.
    Mar 28, 2013. 07:07 AM | Likes Like |Link to Comment
  • Quantifying The Cost Of Long And Double-Long VIX ETPs [View article]
    Great article, insightful and relevant.

    I like your calculation of the implicit carry cost of 30%+ in 2012, but surely you'd admit this is probably an extreme year. Can we walk though the calculation but for the average on the whole period 2004 - 2013....

    VIX starting value = 14.4 (1/3/2004)
    => equity portfolio hedged for 1 VIX contract = 14.4x4x1000 = $57.6k

    Total VIX loss over period = 111 vol points x $1000 = $111k
    VIX loss per year = $111/9 = $12.3k
    S&P TR over period = 57%
    Final S&P portfolio value = $90.1k

    Expressing annual VIX cost as a percentage crudely by dividing by the annual dollar cost by the average of the start and end portfolio value gives an annualized cost of c16%p.a.

    thoughts ?
    Mar 27, 2013. 01:22 AM | Likes Like |Link to Comment
  • Understanding Interest Rate Risk And Duration Of A Bond [View article]
    Can't disagree with the maths, of course, and the conclusion that bonds are not without risk - even more so when viewed in real terms.

    I agree with Marley that illustrating the effect of huge moves without assigning a probability is a very limited way to look at risk. Japan is also very relevant.

    In the UK, people have been crying out for the last 10 years that long term government bond yields were far too low, and the only way they have moved that whole time is further and further down.

    Will we see higher rates in the future ? Probably. But being short bonds right here and now is by no means the "slam dunk" trade many would have you believe.
    Mar 26, 2013. 10:58 AM | 3 Likes Like |Link to Comment