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I have what is to me an interesting question.
With current 2 years (weekly) data on MXF(Mexico Fund), S&P, and NASDAQ I
have (2) 50 P (weekly) correlations of MXF; one with the S&P and one with
NASDAQ, MXF indepependent. I use performance plots - not sure if the price
plots would work the same.
I notice that when MXF is at a low it has a higher R2 with NASDAQ and when
at a high, a higher R2 with the S&P. I think I can understand why to some
extent, but if the same people are investing, why is this so? This is not
just a function of volatility, that is approximately the same for the high
and low areas. Do any other tradables act this way? Is this related to
strength in NASDAQ? Just curious.
R. Roegner
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