iShares Dow Jones US Telecom (IYZ)

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  • commenter
    Clive
    Corcoran
    Jul 23 09:21 AM
    My Website
    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 Reply
  • commenter
    nonaldehyde
    Jul 23 07:26 AM
    Asset Class Correlations [view article]
    More Lep in more places.

    What passes for valid numerical analysis is appalling.     Reply
  • commenter
    lep
    Jul 22 11:06 PM
    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. Reply
  • commenter
    DrBagel
    Jul 22 06:34 PM
    Asset Class Correlations [view article]
    Thanks yuman. that helps. Reply
  • commenter
    Lynn
    Jul 22 04:12 PM
    S&P 500 Sector EPS Growth for Q2 [view article]
    Good info. I hope you keep updating this throughout the earnings season. Reply
  • commenter
    yuman
    Jul 22 03:02 PM
    Asset 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
  • commenter
    DrBagel
    Jul 22 02:20 PM
    Asset Class Correlations [view article]
    I dont understand why treasuries are inversely correlated with the dollar. Can someone explain? Reply
  • commenter
    mdmrjsds
    Jul 22 11:11 AM
    Asset 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
  • commenter
    Irrational
    Markets
    Jul 22 08:48 AM
    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 Reply
  • commenter
    David Barsan
    Jul 22 08:25 AM
    Asset Class Correlations [view article]
    excellent! Reply
  • commenter
    Martin
    Lowenthal
    Jul 18 08:47 AM
    My Website
    What a Difference a Week Makes [view article]
    See 'The fakout shakeout' at www.lompie.blogspot.co... Reply
  • commenter
    rassoodock
    Jul 18 04:29 AM
    My Website
    Sector Relative Strength (7/17/08) [view article]
    whidbey, you have no creativity. Obviously you have to subscribe to their service if you want them to hold your hand. Reply
  • commenter
    whidbey
    Jul 17 05:46 PM
    Sector Relative Strength (7/17/08) [view article]
    What do you recommend, health care,utilities and telcom?

    Does it all mean that the government runs the markets directly or indirectly by it policy bias?

    I fail to see what the benefits of your posts might be.     Reply
  • commenter
    John
    Pseudonym
    Jul 17 10:01 AM
    What a Difference a Week Makes [view article]
    The trend reversed and then positive news was found.

    Bear markets don't go to zero in a straight line.

    There will be big rallys' as we trend down.

    The negative fundamentals are still there and when needed they will be the "news of the day" that explains why the market dropped.

    The financial/economic mess won't really stabilize until roughly 2010. So between now and then be nimble and go with flow.     Reply
  • commenter
    mcadoo3312
    Jul 17 09:48 AM
    What a Difference a Week Makes [view article]
    Investors are cashing in on their gains and dipping into the beaten up areas. They have been waiting for anything positive to come out to reverse the trend and apparently they found it. Can it be sustained? Maybe - until the next IndyMac reminds people that there are still problems out there. Reply

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