Portfolio volatility (vol)

The portfolio’s daily volatility taking into account correlations has been calculated using the formula: Where . a, b and c are the weights of the respective asset in the portfolio X, Y, and Z are the assets in the portfolio Variance (X) is the variance in X price/ rate returns, i.e. it is X’s volatility…Read moreRead more

Correlation – Everything you ever wanted to know but were afraid to ask

Where n is the sample size is the measurement for the ith return observation of asset x is the mean of the return observations of asset x is the standard deviation of the return observations of asset x is the measurement for the ith return observation of asset y is the mean of the return…Read moreRead more

And now for the China Factor – Euro, then oil, then gold…

China raises reserve requirements hinting at possible action to slow down its economy and Eurozone GDP growth rate figure disappoints. To the mix of news coming in on Tuesday, Wednesday and Thursday, this last bit of push caps the week for Euro. We now have a new powerful factor pushing oil, gold and other commodities…Read moreRead more

Currencies and crude oil price outlook – End of quarter ending March 2010

After the action in Euro this week a number of outlook revisions for the European currency were released. The two most noteworthy were the Goldman and ANZ note on Euro and their end of year outlook. The common theme amongst both is the 1.30-1.35 level force and a hint of sub 1.30 level for Euro…Read moreRead more

What does recent Euro volatility mean for oil price…

I think the snow storm has sort of dampened the impact of rising dollar and the EIA demand uptick played into this week. But if Euro continues to weakens and temperatures pick up later in February we should see a downward trend in oil. Reactions?

Understanding Oil consumption demand drivers – step three

  Slightly dated but still very relevant article by Alan Reynolds at CATO that explains where Oil consumption actually goes. The key point being made in by Alan in 2005 was don’t look at vehicular consumption of refined products, look at industrial production and usage driven by manufacturing, heating, farming and logistics. Alan also goes…Read moreRead more

Dollar, Yen versus Euro, Gold and Oil

OilTrader at Darden predicts action in dollar and yen versus euro, gold and oil on Wednesday, Thrusday and Friday (10th, 11th and 12th) February post the scheduled EU meeting on Greece, Spain and Portugal.

Natural Gas and Crude Oil – looking for chinks in the data

Adnan, Agnes and I have been talking about the deviation between oil price and natural gas prices for some time. A few days Agnes pulled together the data to answer two basic questions a.    How correlated are Crude Oil (Brent) and Natural Gas (Henry Hub) prices b.    Is this correlation stable over history or are there periods…Read moreRead more

Understanding oil production and oil consumption – step two

  There are two primary classification of producers when it comes to crude Oil. OPEC and non OPEC. Total expected production for 2010 as per EIA is expected to range between 85 – 86.3 million barrels per day. EIA consumption estimate for 2010 is between 81 – 91.6 million barrels per day. US and OECD…Read moreRead more

5 killed from a blast at a power plant in Connecticut

The blast occurred due to a Nat Gas leakage at a soon to be opened power plant. At least 12 people were injured. The plant was scheduled to be open in the coming summer and was the largest Nat Gas power plant in New England.  No info available on how much longer the plant will…Read moreRead more