I agree. A matrix only provides one overall correlation value between two instruments. It doesn't say anything about the time lead/lag between those instruments.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
Everything's correlated? :(
- Thread starter lentus
- Start date
Green! Go ahead, all your assets are highly correlated! Good job!
Red! Be careful! Your assets are negatively correlated and without knowing it you might be actually doing a proper diversification. Danger!
Strange colour code
Robert Morse
Sponsor
Not my tech. Just posting. If you trade futures, the CME has a lot of free tech, worth a look. You just have to sign up.Green! Go ahead, all your assets are highly correlated! Good job!
Red! Be careful! Your assets are negatively correlated and without knowing it you might be actually doing a proper diversification. Danger!
Strange colour code
I know it's not yours. No worries
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
OK, thanks. Now as for solution/answer to my question?
Can't think of your own solution/answer? And you call others "low IQ clowns"? LOL. If you want to see a low IQ clown just look in the mirror @lentus
If you did your homework using the correlation tools so generously provided by other members in your thread - you’d understand that the positions you described in your OP are just compounded Delta directional risk.
Uh oh, someone took the IQ comment personally.