Tuesday, March 10, 2009

The Volatility of Correlation

Coaker has a couple great papers on correlation and the volatility of correlation. Below are five charts that examine the one-year rolling correlations between the S&P 500 Index TR and :

Foreign Stocks (MSCI EAFE)

10 YR US Govt Bonds

Commodities (GSCI)


The red line is the average correlation over the time period 1973-2008.

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Lunch is for wimps

Lunch is for wimps
It's not a question of enough, pal. It's a zero sum game, somebody wins, somebody loses. Money itself isn't lost or made, it's simply transferred from one perception to another.