Tuesday, June 30, 2009

Herd Mentality On Steroids

It seems I wasn´t far off..... Everybody is once more chasing the same strategy.......No wonder when computer trading ( must see clip Themis Trading: "Principal Program Trading Is A Way To Get The Market Go In Your Direction" )& models are the dominant force on the exchanges these days.....This leaves unfortunately little room for "common sense"..... I doubt that this will end as hilarious ( see "Depression-Era Bear Market Rallies" ) as in the following clip .....

Da lag ich dann wohl nicht nicht ganz verkehrt .... Sieht ganz so aus als wenn einmal mehr alle ein und dieselbe Strategie verfolgen..... Liegt sicher auch daran das heutzutage computergestützter Handel ( passend hierzu Themis Trading: "Principal Program Trading Is A Way To Get The Market Go In Your Direction" ) bzw. Strategien die Märkte dominieren..... Da kommt der "gesunde Menscheverstand" leider oft zu kurz......Bezweifle aber stark das dieser Anfall von "Herdentrieb" für die Akteure ähnlich ausgelassen ( siehe "Depression-Era Bear Market Rallies" ) wie im folgenden Clip enden wird ....

FT Alphaville
June 29 (Bloomberg) — Investors are moving in lockstep like never before, driving up stocks, commodities and emerging markets and risking a replay of last year, when they all plunged the most since World War II.

The Standard & Poor’s 500 Index, whose increase in the past three months was the steepest in seven decades, is rallying in tandem with benchmark measures for raw materials, developing- country equities and hedge funds. The so-called correlation coefficient that measures how closely markets rise and fall together has reached the highest levels ever, according to data compiled by Bloomberg . .

The correlation coefficient for the S&P 500 and the Reuters/Jeffries CRB index of commodities has been at 0.74 for the last 60 days.

A value of 1 means perfectly correlated, but to give you the historical significance of a reading of 0.74 — it’s the highest correlation in at least five decades, according to Bloomberg

The S&P is also increasingly (werrdly) moving in tandem with the price of crude oil, with the correlation value above 0.7 in June. The correlation between the S&P and the MSCI Emerging markets index is also apparently the tightest since Russia defaulted on its debt in 1998

The rather dramatic increase in correlation should be a bit of a worry for investors, since it makes diversification rather difficult.
> Here another stunning chart.....

> Hier ein weiterer Chart der zeigt das momentan eine Art "Ausnahmezustand" herrscht.......

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Anonymous Stat Arb said...

Fred Astaire would be in shock !!!

8:07 PM  

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