To prove that correlation between two variables does not necessarily mean that one causes the other, Tyler Vigen has created a series of comical charts that show “spurious correlations.” A spurious correlation occurs when two things — like the rising divorce rate in Maine and the state’s plummeting margarine consumption […]
Is this or isn't this a "stock picker's" market...
When investors are freaked out, they’ll dump stocks, bonds, and other investments simultaneously and almost indiscriminately. During periods of crisis, numerous asset classes will make big swings hand in hand. In other words cross-asset correlations rise. And in the wake of the financial crisis, correlations surged. One of the downsides […]
Citi currency guru Steven Englander says the stock market and emerging-market currencies are “increasingly running on Fed fumes” in his latest note to clients, quantifying what he says “looks like a Fed love-fest” in global asset markets. “Both FX and equity investors owe the Fed a lot these days,” he […]
Correlations just plunged.
Citi's Chart of the Month.
The correlation between the S&P and Treasury returns is now positive.
The correlation has turned positive.
Take a look at the Citi Economic Surprise Index.
From JP Morgan's David Kelly.
This chart comes from a presentation from JP Morgan Funds. It tracks stock market volatility and correlations among stocks since the Great Depression.
In his U.S. Equity Strategy Weekly note last week, RBC Capital Markets’ Myles Zyblock wrote about how it is becoming increasingly difficult to be a good stock picker (i.e.someone who doesn’t just invest in index funds).
Below is a chart of the ICJ index, which measures the implied correlation between stocks that make up the S&P 500. In other words, it measures the extent to which stocks are moving in unison.
Apple’s extraordinary $657 billion market value makes it the largest stock in the S&P 500.
Financial advisors often recommend international stocks as a way to diversify their porfolios.
Since we posted about how BofA’s sell-side sentiment indicator is currently flashing the biggest bullish signal for stocks they’ve ever seen, we’ve received a few questions about the maths behind the indicator.
One of the notable trends in the wake of the financial crisis has been elevated levels of correlations between stocks. In other words, stock were increasingly moving hand-in-hand.
There’s a “new protocol” on how stocks, bonds, and currencies trade, writes analyst Aleksandar Kocic at Deutsche Bank.
We continue to track the correlation of foreign currencies and the US S&P 500. There are two noteworthy developments we bring to your attention today. Methodologically we look at percentage change of the foreign currency and the percentage change in the S&P 500. The result is the correlation of returns, […]
HSBC is out with a new report on RORO, the clever acronym for the “Risk On/Risk Off” phenomenon, whereby on some days a broad slew of risk assets (stocks, the aussie dollar, copper, etc.) all go up together, and then on other days, a slew of risk-off assets go up […]
[credit provider=”Marc to Market” url=”http://www.marctomarket.com/2012/04/great-graphic-asset-market-correlations.html”] Take a look at this Great Graphic. It is some interesting work by a former colleague at HSBC, Stacy Williams. These large correlation matrices. The first is from 2005, pre-Lehman. It is hard to call that period normal as, it is clear, with the benefit […]
[credit provider=”Michael Steele / Getty Images” url=”http://www.gettyimages.com/detail/news-photo/susanna-kallur-of-sweden-celebrates-winning-gold-with-twin-news-photo/71631714″] The most important metric to consider when diversifying your portfolio is correlation. Adding assets with low correlation helps to reduce volatility.Generally, there is some economic rationale that explains why assets may or may not be highly correlated.
Rich Bernstein, founder of Richard Bernstein Advisors and former Chief Investment Strategist of BofA Merrill Lynch, just published a white paper titled Diversification Remains Difficult.
Wanna know how long Apple’s gonna keep moving up?
Stock pickers are loving the markets lately. Well, the good stock pickers are.