Follow WallStreetBlips on Twitter
Blog Reactions
The Big Picture: Afternoon Reading
The Mess That Greenspan Made: Tuesday morning links
Abnormal Returns: Do correlations matter when the world is on fire?
Toro's Running of the Bulls Market Blog: Correlations at All-Time Highs
The Aleph Blog: Correlation Does Not Imply Causation; A Study of Sector Correlations
Afternoon Reading
The Big Picture —
Somethings I have bookmarked for later today:
● ZeroHedge: Q1 Bank Trading: Only Interest Rate Derivatives (Make That Goldman Sachs) ProfitablePosted by Tyler Durden at 12:01 PM
● OCC Report on Bank Trading and Derivatives Activities: Q1 2009
● The LA Times: Personal bankruptcies surge in Southern California
The region had the nation’s biggest percentage jump in 2008, and the number this year through April is up 75% despite a 2005 rule overhaul aimed at curbing filings by those who would benefit unfairly.
● San Francisco Fed on the Jobless Recovery Redux? ...
Tuesday morning links
The Mess That Greenspan Made —
TOP STORIES • Madoff Is Sentenced to 150 Years for Ponzi Scheme - NY Times • Rhetoric reigns as California IOU deadline nears - Sacramento Bee • Cash Best as Record Correlation Hints Herd Collapse - Bloomberg • GM cuts Toyota ties in US joint venture - CNN/Money • As Iraq Stabilizes, China Eyes Its Oil Fields - Times • Michigan to California: Send us your prisoners - CNN/Money • California faces its moment of truth - Reuters • The Chinese Are Just Like Us - The Atlantic MARKETS/INVESTING • Oil up to near $72 on dollar fall, Nigeria attack - ...
Do correlations matter when the world is on fire?
Abnormal Returns —
The econoblogosphere was set abuzz by an article by Eric Martin and Michael Tsang at Bloomberg.com that documents the high correlations of late between risky asset classes. (You can read reactions from Clusterstock, FT Alphaville, Fund My Mutual Fund, The Reformed Broker and New Rules of Investing.) Asset class correlations are a key component in portfolio construction decisions. The question is are we reading too much into this correlation data?
It is now well documented that asset class correlations tend ...
Correlations at All-Time Highs
Toro's Running of the Bulls Market Blog —
According to Bloomberg Investors are moving in lockstep
like never before, driving up stocks, commodities and emerging markets and risking a replay of last year, when they all plunged
the most since World War II.
The Standard & Poor’s 500 Index, whose increase in the past
three months was the steepest in seven decades, ...
Correlation Does Not Imply Causation; A Study of Sector Correlations
The Aleph Blog —
There was an interesting post on Bloomberg regarding asset class correlations, and a lot of blogs wrote about it, including Abnormal Returns, which did a nice summary, and expanded the argument to university endowments. Part of the issue here is that under conditions of stress, assets separate into two simple categories — safe and risky. To what degree can an asset be turned into cash at anything near its fair value under stressed conditions?
I ran into something similar back in 2006, so I wrote this CC post: ...
