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Correlations

Jul 05 2019

Correlations Are Worthless, Except This One

  • Jul 5, 2019

We’ve never understood investment quants’ desire to project correlations among assets. Such correlations are inherently unstable.

Jan 08 2019

Yields Might Be Throwing A Curve

  • Jan 8, 2019

While the number of recession forecasts is on the rise, there’s a general reluctance among economists to project a downturn in the absence of a yield curve inversion.

Oct 13 2017

Correlation "Cape"-r

  • Oct 13, 2017

During a stock market rally we find difficult to comprehend, it somehow seems appropriate to publish a chart we’re almost at a loss to explain. The first chart shows the 90-year history of the trailing one-year (252-day) correlation of daily returns across market sectors. Correlations have been in a free-fall of late, and now appear to have a good shot at undercutting the all-time low established midway through the 2000-2002 bear market.

Nov 05 2016

The “Low Vol” Unwind: Just The Beginning?

  • Nov 5, 2016

In mid-summer we suggested that attaining new market highs would probably require a rotation away from the long-time Low Volatility market leaders and into High Beta areas like Technology and industrial cyclicals.

May 06 2016

Valuations: The Correction That Never Was

  • May 6, 2016

The correction failed to meaningfully “reset” any long-term valuation measures, hence, we don’t view the current environment as having much investment merit, but rather, primarily speculative appeal.

Aug 07 2014

Correlation Breakdowns

  • Aug 7, 2014

We’d rather eat broken glass than have to forecast financial market correlations, but that doesn’t mean we ignore them altogether.

Feb 07 2014

High Correlations And Their Meaning

  • Feb 7, 2014

While our tongue-in-cheek “Correlation Of Everything” measure has retreated from record levels, it remains far above anything seen prior to 2010.

Jan 08 2014

Correlations Staying Steady

  • Jan 8, 2014

The decrease in correlations has been helpful for investors, but the lack of volatility in the measure has arguably been more important.

Aug 06 2013

Sector Performance and Beta Comparisons

  • Aug 6, 2013

There are some substantial deviations in sector performance depending on your constituents and weighting scheme while, simultaneously, betas are converging toward one another.

Feb 06 2013

Correlations And Factor Performance

  • Feb 6, 2013

Value factor performance took off at the end of June last year and never looked back; posting positive Q1 minus Q5 spreads every month since.

Feb 06 2013

The Math Doesn’t Work For Long-Term Treasuries

  • Feb 6, 2013

The recent upside breakout in the U.S. 10-year yield was successful, and it appears interest rates will remain in the new higher range for now. But what are the short-term implications of higher U.S. Treasury rates on asset allocation decisions?

 

Jan 07 2013

A Review Of Correlations & Factor Performance

  • Jan 7, 2013

A review of correlations and factor performance. Plus, weighting matters in sector performance as we compare the S&P 500 to our Leuthold 3000 universe.

Jan 07 2013

The Role Of Commodities In A Multi-Asset Class Portfolio

  • Jan 7, 2013

The primary benefits are their inflation and U.S. dollar hedging capabilities.

Nov 06 2012

Correlations: Digging Deeper At The Sector & Group Levels

  • Nov 6, 2012

Correlations have been extremely elevated over the past few years when compared to historical levels. The question is, which parts of the market has this impacted the most?

Jun 06 2012

The Changing Role of Gold In An Investment Portfolio

  • Jun 6, 2012

As global capital markets are yet again dominated by extreme macro-economic uncertainty, gold appears to be behaving as a hedge against extreme equity market movements, a store of value and an alternative to fiat currencies.

May 04 2012

Stock/Bond Correlation Upside Down—Stocks And Interest Rates Can Rise In Tandem

  • May 4, 2012

An examination of this historical relationship turns up some interesting findings that challenge the traditional disposition.

 

Apr 04 2012

Correlations Steady After Sharp Drop

  • Apr 4, 2012

Correlations stabilized during March and remain below the record levels of last fall.

Feb 05 2012

January Performance: Reversals Everywhere

  • Feb 5, 2012

January performance was nearly opposite that of 2011… Shifts in factor performance and volatility are discussed.

  

 

Dec 06 2011

Factor Performance Remains Choppy

  • Dec 6, 2011

Factor performance continues to flip-flop, one-year correlations hit all-time high, Earnings Revisions remains the strongest factor in 2011, which prompts a deeper look.

 

Nov 05 2011

The Return Of Value And Growth?

  • Nov 5, 2011

Correlations finally drop during the October market rally. Both Value and Growth factors outperformed during the month. Some momentum factors have diverged… each is an atypical occurrence.

 

Oct 05 2011

Record Performance Correlations Continue

  • Oct 5, 2011

Industry groups and stocks continue to set records with performance correlations. Defensive groups have seen the largest percentage gain to current correlations relative to the last five years. There truly has been no place to hide in this market.

 

Sep 04 2011

Correlations: Hitting Record Highs

  • Sep 4, 2011

Industry groups and stocks are now trading at record correlations.

Aug 04 2011

Market Interrelationships: “Unlearning” What We Thought We Knew

  • Aug 4, 2011

Doug Ramsey examines several once very reliable relationships between stocks, bonds, inflation, and commodities.

Aug 04 2011

Factor Performance: Insider Activity Finally Works; Value Continues To Struggle

  • Aug 4, 2011

Insider Activity measures finally additive in July after six months of negative results;  other factors’ performance deteriorated, however.

 

Jul 05 2011

Leuthold Stock Quality Rankings—Tracking Quality And Risk Cycles

  • Jul 5, 2011

High Quality Stocks outperformed their Low Quality comparators in the second quarter, and we find signs that a new High Quality Cycle is starting to take off.

 

Jun 05 2011

Factor Performance Since 2009 Lows: Reversals Everywhere

  • Jun 5, 2011

Graphical representation of the difficulty since the March 2009 market bottom. Not many factors have been effective.

 

Apr 05 2011

Correlations: Still At Peak Levels

  • Apr 5, 2011

Our calculations show the rise and fall of equity group correlations over time. How does this impact returns both historically and going forward?

 

Dec 04 2010

The Charts Of The Year

  • Dec 4, 2010

This month’s “Of Special Interest” takes a look back at and updates some our favorite charts from 2010.

 

Oct 05 2010

Back Aboard The Bull

  • Oct 5, 2010

Major Trend Index now Positive (both global and domestic). Even though we are bullish, there are several bullish arguments that we still don’t buy.

Oct 05 2010

Mining An Over-Correlated Stock Market

  • Oct 5, 2010

Correlations between asset classes have been running quite high over the last couple of years. Eric Bjorgen looks at current tightly correlated sectors that historically have not been so correlated.

Sep 03 2010

Market Correlation And Group Rotation Strategy

  • Sep 3, 2010

New data series confirms unprecedented correlations in equity markets.

Aug 03 2010

Irrelevant Factor Performance

  • Aug 3, 2010

During July, there were no factors that added value at a statistically significant level.

 

Sep 05 2007

Correlation In All The Wrong Places

  • Sep 5, 2007

Many quantitative factors, which had previously shown little correlation, suddenly all moved together.

Jul 04 2007

Is Your Portfolio "De-Worsified"?

  • Jul 4, 2007

This global bull market in stocks has been unusual in that it’s been accompanied by bull markets in things that often exhibit little correlation or even negative correlation to equities.