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- Asset Class Correlations [view article]
- Has China Become the U.S. Treasury's Best Friend? [view article]
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- Asset Class Performance in 2008 [view article]
- And They All Fall Down: No Broad Stock Index Is Up [view article]
- Bonds: No Inflation Threat in Sight [view article]
- Wednesday Outlook: Bulls Storm In [view article]
- Replicate The Yale Endowment With These ETFs [view article]
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- Time to Short Both Long-Term Bonds and Crude [view article]
- Treasury Bonds: The Short of the Century [view article]
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- Thursday Outlook: Overbought!
- Wednesday Outlook: No Rhyme or Reason
- Asset Class Correlations
- Friday Outlook: Bear's Wild Ride
- Thursday Outlook: The Good and the Bad
- Has China Become the U.S. Treasury's Best Friend?
- Wednesday Outlook: Bunning Throws Heat
- Bond Expert: Tuesday Wrap
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Corcoran
Asset Class Correlations [view article]
Regarding the increased correlation with the Japanese yen the rate you are referencing is the USD/JPY so increases in stocks is related to increased strength of dollar versus yen and not strength in the yen. This could be closely related to leverage being applied/wound down by hedge funds etc (when they are more bullish on stocks) via the carry trade ReplyAsset Class Correlations [view article]
More Lep in more places.What passes for valid numerical analysis is appalling. Reply
Asset Class Correlations [view article]
The majority of correlation coefficients shown are actually not that good. When you get down to 0.2 - 0.6, the association between the pairs of variables can still be jumpy. In fact, if you showed the X-Y scatter plots for a number of these matrix elements, you would probably be surprised at how noisy, jumpy and unrelated a lot of the series are. X-Y scatter plots would likely reveal problems and cause readers to ask why you tried to correlate a lot of these pair-vectors in the first place. At values of r=0.8 (-0.8) you will truly begin to see very tight patterns and tight trending between the data being correlated. The goal is to focus on high negative correlation, and the large negative correlation between the dollar and gold is actually good, since you would want to load a portfolio with something that is going to go up, on average, when the dollar goes down. (remember, though, gold is a commodity so the price is inflated in the direction in which the speculative buyers/sellers think it will go. ). Again, the majority of the coefficients are near-zero and low (less than r=0.2 or greater than r=-0.2) and uninteresting. Last, you are probably showing Pearson correlation, which can be biased by outlier pairs. Try using Spearman correlation, which is not biased by outliers. ReplyAsset Class Correlations [view article]
Thanks yuman. that helps. ReplyAsset Class Correlations [view article]
DrBagel,I think 10-Yr treasuries in the tables are measured in price, not yield. The dollar drops with short terms rates, while gold rises (-0.64), so do bond prices. Reply
Asset Class Correlations [view article]
I dont understand why treasuries are inversely correlated with the dollar. Can someone explain? ReplyAsset Class Correlations [view article]
In the third chart, the vertical column of correlations for 10-yr is marked as slightly less correlation in the column, but largely less correlation in the row with the same numbers. The inverse is true of the yen, the column disagrees with the row, though for increased correlation.The numbers are the same, so I guess this is just coloring error. Reply
Markets
Asset Class Correlations [view article]
the only problem is that correlations are not static and so if you try and build a portfolio based on "asset class correlation" you might find yourself of mark real quick ReplyAsset Class Correlations [view article]
excellent! ReplyHas China Become the U.S. Treasury's Best Friend? [view article]
MIKE,,,READ THIS ARTICLE AND ESPECIALLY THE FOUR COMMENTS AT THE END OF IT. WE SCREW JAPAN WITH NYC PROPERTY 25 YEARS AGO AND WE ARE NOW SCREWING CHINA....WITH FIAT ALMIGHTY DOLLARS THAT ARE INFLATING AT THE RATE OF 1.1% PER MONTH IN THE CPI. IF YOU WAIT LONG ENOUGH TO GET YOUR IRA MONEY OUT, MAYBE YOU'LL BE ABLE TO BUY A QUART OF LIQUOIR OR A SIX PACK OF BUD,,,,WHICH IS ALSO SELLING OUT. ReplyHas China Become the U.S. Treasury's Best Friend? [view article]
Plausible to a high degree by a worried ancient investor. ReplyThe Ponzi
Scheme
Would Last?
Has China Become the U.S. Treasury's Best Friend? [view article]
First, China does not trust Paulson or anyone else or even the USD so you can forget that line of reasoning. I respect them for that.No, you missed the real reason: China is not quite ready for the Ponzi scheme, in which they have played a pivotal role, to end.
China has slave labor. The workers make dick, the elitists get it all. The elitists have been working the slaves to produce goods for us to consume at low prices. Why?? Because they wanted to show the rest of the world they had a huge trade surplus with a huge economic partner. Why did they want to show all this? SO THET COULD GET LOANS in huge amounts using their trade surplus as proof of credit worthiness.
When their trade surplus craps out (as it is right now), someone is going to call those loans in and when they do you will want to be holding FXP. China is highly leveraged and they are going to suffer greatly in the coming economic collapse. Reply
Has China Become the U.S. Treasury's Best Friend? [view article]
China Was Burned big Time With its investment in BX, down 50%. They have not come into the market to purchase more.Using this analogy, I doubt whether they will be eager to use good money to buy more American Pesos.
The Money Supply keeps surging ever higher, don't expect help from the FED either since BB announced yesterday that their primary focus was the Financial Crisis in the face of the Highest inflation in 26 years.
Gold will be above 1100 by year end and the Dow around 9000. Reply
Tiedeman
Has China Become the U.S. Treasury's Best Friend? [view article]
With their 1.81 Trillion in reserves the answer, unfortunately, is yes. ReplyBond Expert: Tuesday Outlook [view article]
Good review. The markets are about adjust again, this time to lower yields, but soon that changes and we will lose money in bonds and stocks. That should be a bottom for a while until the fall plunge. Reply