Tag Archives: correlation

The Apple and Gold Correlation Illusion

In an amusing post, The Reformed Broker has finally solved the puzzling, at least for some bloggers, apparent high correlation between Apple and gold. In this non-amusing post, I show that the correlation is nowhere near as high as claimed and that some … Continue reading

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Anti-Correlation Between Stocks and Bonds is Still High

The 12o-day rolling correlation between stocks and bonds made a low of -0.81 during February of 2012 and since then its has risen to slightly higher levels around -0.66. However, the correlation is still low and despite the correction due to a rise … Continue reading

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They First Got Into GOOG and Then Dumped AAPL

One of the most lucrative trades this year so far has been long GOOG and short AAPL. For equal allocation it has returned more than 36% in less that 2 months to those who have shaken out weak hands in AAPL hoping for a target … Continue reading

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Forget Everything They Taught You About Correlation

If in business school you were taught that high positive correlation means that when one security moves, either up or down, the other security moves in lockstep in the same direction and that high anti-correlation means that when one security moves, … Continue reading

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Once in Sync Now in Different Paths

The 120-day rolling correlation between GOOG and AAPL reached a high of +0.76 in the first week of January 2012. Since then it has been on a free fall and currently at +0.27. Once in sync, now in different paths. … Continue reading

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More on the Correlation Between Stocks and Gold

After 2009, each time the correlation between stocks and gold turned negative, stocks rallied to new short-term highs. However, the number of observations is not significant and this pattern may change if key players change their strategy. The fact that there was … Continue reading

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Municipal Bond Prices Rally Supported by Treasuries

Prospects of higher taxes have fueled a rally in municipal bonds that was further supported by the recent stock market decline. MUB, the municipal bond ETF,  retreated yesterday after  testing its February high. We may see higher prices if the same conditions persist. … Continue reading

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Stock-Bond Correlation On The Rise

The stock-bond 60-day rolling correlation calculated using SPY and TLT has increased 25% since the start of August, from -0.80 to -0.60. This may be good news for the stock market in the medium term because the volatility of stock/bond portfolios has increased … Continue reading

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