Jase

Opportunities in a High Correlation World

Geoff,

Excellent article. To what extent do large currency fluctuations contribute to this increased correlation? At the beginning of 2006, 2007, 2008, and 2009, the value of US Dollar Index was at ~90, ~83, ~76, and ~81 respectively. Those are massive % swings. The run-up from its lows of 70.70 in March 2008 to its recent high of 88.46 in November of 2008 is an astounding, if not unprecedented, percentage gain. Surely this must influence your correlation results. My question is, how?

A Simple Momentum System for Beating the Market

Price is a reflection of value. The value of an asset is equal to the total of all future earnings, such as dividends, which will be obtained from it, discounted for the interest that will be lost from having to wait to get these earnings. That said, Mr. Faber, kindly run this computation in Mathematica.

ListLinePlot[Accumulat...

Prove to me that what we see in the markets is not, in fact, the above in disguise. Until then, I couldn't care less about your rotation/momentum system (or your book, for that matter).