Everything's correlated? :(

[lentus]

If everything is highly correlated, monitor the correlation and run a stat-arb when it diverges. In theory, that should de-correlate your absolute returns (I think...I'm not a spreader).

Everything was obviously a figure of speech. More specifically, my asset examples explained further what I meant.

 

[lentus]

To answer your thread title question...

Everything is not correlated. For example, Bitcoins, Penny Stocks and BUND futures.

wrbtrader

I just realized BTC is uncorrelated af to like.. everything except other cryptos

 

[murray t turtle]

Let's say I want to play risk-off (just an example, let's not deepdive into whether that's a good idea etc). Great.

I'm long:
gold
silver
yen
swissie
long-term govt bonds of developed nations

Short:
equities
oil

Isn't all of this highly correlated and effectively just one trade? If so, how do I find uncorrelated asset classes?

% NO;
silver is not very correlated @ all to up-trending stocks + /SPY/QQQ. Like the old elite public profitable DoW deriVatives trader noted,''DOW is correlated to itself''.....................................................................................................................Spell checker not used+ not a prediction.

 

[Nobert]

I just realized BTC is uncorrelated af to like.. everything except other cryptos

I think, - it's the way around, BTC is the flagship like index & shitcoins follow.

 

[bone]

Because I don't want to have essentially one big trade instead of multiple different smaller ones.

Your OP thesis carries much greater risk than one bigger position in a singular instrument because you haven’t hedged highly positive correlations and because of the substantial execution slippage involved in covering several positions in lieu of a single position.

You’re Delta directional to the extreme... I personally can’t imagine a more exposed risk profile than your OP.

Possibly if you were short OTC hourly electricity in the INC/DEC market. Other than that you’ve built the death machine as far as regulated exchange products go

 

[murray t turtle]

To answer your thread title question...

Everything is not correlated. For example, Bitcoins, Penny Stocks and BUND futures.

wrbtrader

%%
That;
+ many very HI positiVe past correlations dont mean much@ all. OIL for example has had some HI correlations ... with Stock indexes/ETFs. Doesnt mean much @ all- oil has no earnings+ stocks NEVER make WEDNESDAY moves like OIL.,

 

[IAS_LLC]

%%
That;
+ many very HI positiVe past correlations dont mean much@ all. OIL for example has had some HI correlations ... with Stock indexes/ETFs. Doesnt mean much @ all- oil has no earnings+ stocks NEVER make WEDNESDAY moves like OIL.,

 

[murray t turtle]

%%
LOL; black gold /Texas TEA Then one day Jeb was shootin' @ some food + up from the ground comes a bubblin' crude................................................................I like big oil companies- not a stock tip- too many cycles for me.

 

[HobbyTrading]

Whether multiple markets are correlated or not also depends on the time scale you are taking into consideration.
See here an overview based on the last 180 days: https://www.mrci.com/special/corr180.php
That same website has some other matrices as well. You will see that often agriculture futures show a low correlation with the rest.

 

[bone]

Whether multiple markets are correlated or not also depends on the time scale you are taking into consideration.
See here an overview based on the last 180 days: https://www.mrci.com/special/corr180.php
That same website has some other matrices as well. You will see that often agriculture futures show a low correlation with the rest.

I am quite familiar with the MRCI data - but to understand and appreciate the lead-lag relationship you need to have the actual order books up side-by-side.

The MRCI daily close correlations are an excellent screener to choose which order books to observe