Tainted Alpha

I’m puzzled by the market action in recent days. It fells that something is wrong, but I major move down doesn’t seem probable. The news and blogosphere are full of stories on Mr. Bernanke and AIG/Goldman Sachs/Societe Generale unwinding. Both are neither interesting neither useful in investing. Who cares what happened more than year ago, it doesen’t affect the future in quantitative manner. FED Chairman? Even if Mr. Bernanke is replaced by someone else it would be extremely to change the path started by Helicopter Ben (maybe impossible). Only entertainment for the media here.

Because of lack of clear conviction I have even started to post my own graphs…to use the time usually spent on market monitoring.

Just to not confuse things, fundamentally all risky assets are undervalued in general, I am talking on the timing of the repricing.

Questions coming to my mind in recent few days are:

1. Why an equity correction and a violent VIX move up was not accompanied by a mayor move up in U.S. treasuries and U.S. dollar?

Chart 1. S&P 500

Chart 2. 10-Year U.S. Treasury Note Price Index

Chart 3. U.S. Dollar Index

Chart 4. VIX

2. Why an oversubscribed Greek bond hasn’t moved the Euro.

Chart 5. Euro Index

3. Why U.S. Steel (X) & Nucor (NUE) got destroyed on outlook as we all knew the demand is strong only in China?

Chart 6. U.S. Steel (X)

Chart 7. Nucor (NUE)

Questions, questions, but no answers.

AIG (AIG), Ben Bernanke, Goldman Sachs, Greece, Nucor (NUE), S&P 500, Societe Generale, U.S. Dollar, U.S. Steel (X), U.S. Treasury Bonds, VIX

This entry was posted on Tuesday, January 26th, 2010 at 6:26 pm and is filed under Markets. You can follow any responses to this entry through the RSS 2.0 feed. Both comments and pings are currently closed.