Michael Bommarito

Best ETF and CEF Absolute Lagged Correlation To the S&P 500

Hello Harvey,
Lagged correlation here is the correlation between two time series with one shifted so that its dates are lagged by a certain number of periods. For instance, the 1-day lag correlation would be the correlation between DND on day N and the S&P on day N+1.

Overbought/Oversold Currency ETFs

Not sure if you saw my post (and another's) on the commodity thread, but how are these determined to be under/over/par? Depending on what time scale you look at these currencies, I can see arguments for both under- and overvalued (e.g. cumulative difference between USDJPY and FXY returns over past 5 days or past 60?) Most of the worthwhile arbitrage on these currency ETFs has been due to the same expectations as FX but drastically different liquidities (i.e. rate expectation moves illiquid ETF twice as much as actual exchange rate) in my experience.