AI
Thursday, September 25, 2008 4:50:29 PM
Hi Tom
Belated best wishes on your Birthday
I see that your IRA account holds both JGG and CHY. I assume you're aware that CHY comprises of something like 54% Bonds, which has a high correlation to JGG?
As CHY use around 33% leverage an arbitrage/inverse-pair of CHY amounts to 72% short JGG and 62% DOG. Plotting the prices only results in
Some difference in the magnitudes as the dividend across the 72% short JGG and 62% long DOG (short DOW) pair is lower than that of CHY's dividend, but otherwise pretty consistent.
Best regards. Clive.
Belated best wishes on your Birthday
I see that your IRA account holds both JGG and CHY. I assume you're aware that CHY comprises of something like 54% Bonds, which has a high correlation to JGG?
As CHY use around 33% leverage an arbitrage/inverse-pair of CHY amounts to 72% short JGG and 62% DOG. Plotting the prices only results in
Some difference in the magnitudes as the dividend across the 72% short JGG and 62% long DOG (short DOW) pair is lower than that of CHY's dividend, but otherwise pretty consistent.
Best regards. Clive.
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