Gavekal Capital: Last Week's Returns Had "Risk-On" Characteristics

Monday, December 23, 2013

Last Week's Returns Had "Risk-On" Characteristics

Last week, the two factors with the highest R-squared to the market were correlation with the Yen and beta. Interestingly, there has been a very clear relationship when looking at stocks with high or low correlation with the Yen over the past year. The stocks with the highest correlation have performed much worse than the stocks with the lowest correlation. This, however, has not been the case when you are dissecting returns based on beta. There hasn't been much of a pattern that you can clearly identify over the past year.

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