mebanefaber.com - 3/10/2009
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Coaker has a couple great papers on correlation and the volatility of correlation . Below are five charts that examine the one-year rolling correlations between the S&P 500 Index TR and :
Foreign Stocks (MSCI EAFE)
10 YR US Govt Bonds
Commodities (GSCI)
REITS (NAREIT)
The ...
tickersense.typepad.com - 3/11/2009
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tickersense.typepad.com —
Picking winners is becoming increasingly difficult, and picking
sectors is now almost useless. The chart below shows...
the average correlation of each S&P 500 stock with the S&P 500 index on a rolling 200 day basis. As shown, beginning in the ...
(more)
Stock Correlation Remains High
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Tuesday links: the bottom rung
Abnormal Returns —
... is widely cited for today’s stock market rally. Other items to the contrary. (24/7 Wall St., naked capitalism, The Stash, Atlantic Business)
What is “latency arbitrage” and how are some hedge funds profiting from it? (MarketBeat)
Whoever said that asset class correlations were stable? (World Beta)
Are you confused why the US Dollar is so strong? Don’t ...
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Be very cautious of any thesis you have on continued advancement of the market based on "dollar depreciation."
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