Comments on Rick Bookstaber: The Myth of Noncorrelation

Yup, I was 100% correct . . . where's MY Nobel Pri...

2009-04-25T12:41:00.000-04:00

Yup, I was 100% correct . . . where's MY Nobel Prize in Economics?

The overall Systemic Risk of sudden asset illiquid...

2007-09-27T09:19:00.000-04:00

The overall Systemic Risk of sudden asset illiquidity, resulting in too many unknowns, e.g., from non-normal return distributions, 100+ yr events, and resultant feared domino of defaults, indeed proves the fallacy of non-correlations.

This begs the question if the 21st century electronic interdependence amongst all debits & credits, quantified down to risk/reward lognormal probability tables, is akin to the dice table? And, therefore, should same be regionally, politically, and electronically be decoupled?

An aside -- 35 years of Nixon's fiat dollar vs. 3,500 years of gold as the backing for the most accepted mediums of exchange? . . . Hum.

Is seems that pursuit of hedging though pairing of...

2007-09-25T02:33:00.000-04:00

Is seems that pursuit of hedging though pairing of non-correlated assets assures an effective arbitrage of this non-correlation to much lower levels.

So is it then any consequent surprise that previously non-correlated assets are now far more correlated than historical data?

A corollary to the myth of non-correlation is that...

2007-09-24T11:39:00.000-04:00

A corollary to the myth of non-correlation is that there are now so many leveraged players that no market is safely isolated. Take muni bonds -- no foreign holders, dominated by individuals and retail mutual funds that are agents for individuals: yet munis still took a hit (short-term, to be sure) in August. It appears that some hedge funds looking for action were taking advantage of the fact that the muni yield curve had not inverted. Nowhere to hide.