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- Education Cornell University
- Qualifications BA Economics
- Industry Internet
Robert Zingale
Individual Investor
When I am not working at Google, I have a passion for investing and have been actively investing for my personal accounts since I was an undergraduate. I was also involved with student run investment club while at Cornell University.
Investment style
Volatility statistical arbitrage
How I got started
Through my studies, I learned about the returns generated by backwardation and contango from futures. Therefore, I researched whether any futures tend to constantly stay in either backwardation or contango and were also easy to exploit. As a result, I found that volatility futures are consistently in contango. Additionally, I realized that the only way to accurately statistically model an asset was for the asset to have a mean reverting level. Since VIX futures have this characteristic as well, this is my investment strategy.
Personal Interests
In my spare time, I enjoy researching option trading strategies. Due to the complexities of option pricings, I find this area of trading to be the most interesting. I have found exploitable instances where the Black-Scholes pricing model breaks down due to its normal distribution assumption, especially on OTM LEAPS.
Investment models
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Robert Zingale Volatility Mean Reversion
See full details- Allocation Strategy Long-Short
- Approach Quantitative
- Asset Class Other Asset Class
- Geography US
Performance-
-0.4%90 day
-
23.9%365 day
Avg. Sub.-
-0.5%90 day
Monthly vs S&P5000.4% 12 months
Important Information
1. Performance of the model manager’s account is calculated by Covestor on a daily time-weighted basis, including cash and broker commissions. More
2. Past performance is no guarantee of future results. Periodic and since inception performance returns are calculated daily. Monthly vs. S&P 500 return and the corresponding spark chart is calculated to the most recent month end date.
3. The subscription minimum is the minimum subscription required to follow a particular model. The minimum amount is determined by Covestor, based on the characteristics of the underlying model. It should not be considered as specific investment advice for your investment situation.
Model commentary
Here's my volatility futures short strategy
6 June 2013
There are attractive short- and medium-VIX futures opportunities ahead.
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