tag:blogger.com,1999:blog-897456774486153841.post6385296495592188388..comments2024-03-25T09:22:22.004-07:00Comments on VIX and More: A Global Indicator to WatchBill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comBlogger3125tag:blogger.com,1999:blog-897456774486153841.post-84041940748418081162007-05-25T06:46:00.000-07:002007-05-25T06:46:00.000-07:00You might also be interested in a recent calculati...You might also be interested in a recent calculation I ran on <A HREF="http://www.etf-central.com/best-and-worst-etfs-and-cefs-vix-exposure-57" REL="nofollow"> the best and worst ETFs and CEFs for VIX exposure</A>.<BR/><BR/>-Michael J Bommarito IIAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-3814482337292880922007-05-25T05:53:00.000-07:002007-05-25T05:53:00.000-07:00From 27 Aug 2001 to last night, I see about a 4.6%...From 27 Aug 2001 to last night, I see about a 4.6% correlation in daily return and 7% correlation in weekly return.<BR/><BR/>If you look at lagged day, correlation it's a little weaker at 3%. For the lagged week(EFA return this week vs SPY return next week), the correlation is negative, but this perhaps gets into frequency amplitude differences between the US market and global market. <BR/><BR/>Anyway, I very much agree that it is a good warning indicator for percentile returns or maybe some percentage above moving average, but just letting you know that I don't find impressive correlations in my return data.<BR/><BR/>-<A HREF="http://www.etf-central.com/" REL="nofollow">Michael J Bommarito II</A>Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-89655549249568368062007-05-24T10:13:00.000-07:002007-05-24T10:13:00.000-07:00If anyone is having difficulty reading the graph, ...If anyone is having difficulty reading the graph, the original is <A HREF="http://i104.photobucket.com/albums/m163/bl82/EEM-EFA052407.gif" REL="nofollow"> here </A>Bill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.com