It Is All The Same Trade
In addition to an absolute wealth loss, the credit crunch has, as all crises do, forced a confluence of returns and made diversification difficult if not impossible to achieve.
Higher Crude Oil Prices Still Not Negative For U.S. Equities.
The partial contribution of higher crude oil prices to U.S. equities remains positive; this is because other factors are putting more significant downward pressure on stocks.
Expected 3-Month LIBOR Rising
While the spread between the three-month LIBOR set-for-tomorrow swap and effective federal funds is re-normalizing, the high realized volatility of effective federal funds indicates continued high levels of market stress.
How Big Are Commodity Index Funds?
At over $336 billion in long index positions as of March 11, 2008, index trading accounts for almost 70% of all the money in the commodities market as measured by the CRB. These numbers are even more impressive considering long-only commodity index funds essentially did not exist before this decade.
An Update On The Credit Crisis: Is The Fed “Pushing On A String?”
Over the past few months we have compiled a rather extensive list of charts which we believe to be good measures of stress in the credit markets. Because we are regularly asked for updates to these charts, we thought it would be useful to provide a laundry list of these measures, updating them on a semi-regular basis.
To see more of our credit charts, including larger versions of all charts included in this update, see the accompanying Power Point file.