21 lipca 2011

Koleracja na rynkach finansowych - PMI i surowce

Pisałem już nie raz o korelacji na rynkach finansowych (tag correlation / korelacja). Dzisiaj mała tabelka i dwa wykresy pokazujące ciekawą zależność na rynkach Poniżej opis komentarz w języku angielskim - z powodu braku czasu. Jak ktoś chce może przetłumaczyć i napisać w komentarzu to podmienię. W skrócie napiszę, że rynki akcji skorelowane są bardziej z globalnymi odczytami PMI, a z kolei surowce i waluty krajów typu Australia czy Kanada bardziej powiązane są z gospodarką Chińską.
[...]historically business sentiment has had a close relationship with risky asset returns. The charts below plot the global PMI new-orders-inventory gap against the 6-month return of global equities and non-energy commodities. Since 1998, the correlation has been as high as 72% with equities and 50% with non-energy commodities. The strong relationship holds across individual countries and a variety of risky assets, providing us with insight as to how different asset classes may respond to future trends in the PMI data. Figure 10 plots the correlation of domestic new-orders-inventory gaps with a range of assets. The first column provides the correlations between the global new-orders-inventory gap and each asset since 1998. The right hand columns examine the correlations for the global and country level data since 2004 to provide a comparison with the Chinese PMI data that start then. Equities are the most sensitive asset class to changes in business sentiment and have become more sensitive in recent years as the global correlation increased from 72% since 1998 to 85% since 2004. Furthermore, the sensitivity across all asset classes has increased from 1998 to 2004. In the case of the Korean won and US credit, the correlation with developments in the global PMI has doubled, highlighting the increased sensitivity of the outlook for the South Korean economy and US corporates to global growth. In fact, US credit has a marginally higher correlation with global and European new-orders-inventory gaps than with the domestic survey. Energy, unsurprisingly, has a higher correlation with Chinese data, while non-energy commodities are more sensitive to European data. Interestingly, commodity currencies such as AUD and NOK are more sensitive to the Chinese economy than physical commodities, while Chinese equities seem fairly insensitive to domestic growth. In the rates world, EM bonds are far more sensitive to global growth than either US credit or Treasuries.
Raport - 2011 07 20 Asset Aloc Snap Risk

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