| Once upon a time I looked at pairs of stocks that moved in a similar manner. That is, they tended to move up and/or down together. For example sister stocks and pairs trading. Recently, I've become more interested in a stock ABC that moves ahead of stock XYZ. That is, ABC reacts to market forces (I love that phrase!) before XYZ. Then, when ABC moves, look carefully at ABC.  So I have this spreadsheet that downloads daily prices for a couple of stocks and calculates the correlation ... with one of the stock prices shifted by a day or three. One might expect that many pairs move together. When the price of gold goes up (down), you'd expect gold stocks to go up (down) together, without delay.  I play and play but can't find no neat pairs ... yet! Wanna play? |
Tuesday, March 2, 2010
Delayed correlations
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The ETF XLF is fixin to add Buffett's Bershire stocks, so I think that it should start to fly. But I have no ideal how to correlate it as they add them.
ReplyDeleteIt'd be interesting to periodically run that spreadsheet with XLF and BRK-A to see how the correlation changes over the next few months.
ReplyDeleteNow, it looks like this:
http://i46.tinypic.com/2eec7yx.gif