Posts Tagged ‘FTSE’

Asset Class Correlations

Sunday, August 10th, 2008

July 22, 2008 - July 21’s Wall Street Journal had an interesting article about asset class correlations.  With that in mind, below we highlight (click here for PDF) a correlation matrix of various asset classes including the S&P 500 sectors, oil, gold, the dollar, the yen, emerging markets, the 10-year note and the FTSE 100.  The first matrix highlights the correlation between the daily percent changes of asset classes since the S&P 500 peaked on October 9th, 2007.  Each column (vertical) is color coded from green to red based on highest to lowest correlations.

The second matrix highlights the correlations between the same asset classes, only from a much longer time horizon (1990-present).  Then, in the bottom chart, we highlight the difference between the short-term and long-term correlations to see where differences arise.  Correlations that have increased since the bear market began in 10/07 are shaded in light green, while correlations that have decreased are shaded in light red.  In each column, the biggest increase and decrease in correlation is highlighted in dark green or red.  As shown, correlations have generally increased among sectors, while stocks have become less correlated with oil, gold and Treasuries.  Correlations between stocks and the yen have increased the most in the short-term compared to their long-term correlations.  To view the matrices in PDF form, please click here.  It’s definitely an interesting data set to analyze and it’s better to let the info speak for itself.

Correlation721

Thanks Bespoke.

(Courtesy: Bespoke Investment Group)

MEDIA ENCLOSURE: http://feeds.feedburner.com/~r/GreenlightadvisorBlog/~5/343022913/acc-bespoke.pdf

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International Markets Snapshot

Tuesday, June 24th, 2008

June 24, 2008 - Courtesy of Bespoke Investment Group - The recent selloff in equities has really spared no one.  As shown in our trading range charts below of 22 major country indices, the trend has been down across the board in recent weeks.  Even Brazil, Mexico and Russia, who had all held up relatively well this year, have sold off quite a bit. Currently, 19 of the 22 countries are trading in oversold territory (Canada, Japan and Russia are neutral).  European countries like France, Germany and Italy have really taken it on the chin, while China and India remain the biggest losers in 2008.  After forming short-term uptrends off of the March lows, global equity markets have now lost most of their gains and are looking to move back into downtrends.

Austbraz

Canachin

Honggerm

Franindi

Italjapa

Malaspx5

Mexiruss

Singsout

Swedspai

Soutswit

Taiwftse

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Posted in Brazil, China, Emerging Markets, India, International Markets, Latin America, Markets, Russia, US Stocks | No Comments »