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Fear the Yen

posted 837 weeks ago on

Here are some stunning stats from Ken Fisher in yesterday's Financial Times: Forget the falling dollar. What we should fear is a rising yen. The most amazing statistic you never heard is: the year-to-date daily correlation between ups and downs in the global stock market versus spreads between the yen and the euro is 93 per cent. That is beyond eye-popping. I had no idea it was that strong: The 2007 year-to-date daily correlation coefficient between changes in the yen/euro spread and the MSCI World Index ? best reflecting the total developed world stock market ? is 0.93. For the S&P 500, it is 0.89, for the FTSE 100, 0.86, and for Germany?s DAX, 0.87. All higher than most people can fathom. The correlation of the MSCI World to the yen/sterling spread is lower, at 0.75, but is still

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