11 June 2012

Co-Authors

Steve Williams

Chief Derivatives & ETP Strategist

Alex Kemmsies

Associate

Justin Schack

Managing Director

Rosenblatt Securities Inc.
New York +1 212 607 3100
Dublin +353 1 855 9125

Inquiries to
globalexchangeanalysis@rblt.com

TRADING TALK
Rosenblatt’s Monthly ETP Review" May

Strategist’s Corner

Summertime Doldrums and ETP Whipsaws

“Doldrums” is a colloquialism derived from old English “dold,” or stupid. Eighteenth-century mariners applied the term to zones with extended periods of windless inactivity coupled with random unpredictable spats of violent cyclones.

Correlation among typically disparate assets, such as equities and Treasuries, has been elevated since the onset of the 2007 recession and is indicative of poor liquidity and the diminished appetite for risk that continues to grip the markets. Since 2007, the term “risk on/risk off” has been used to describe periods of time where risk assets rallied or dipped with similar beta and correlation. The risk on/off trade has become far less frequent since the fall of last year, and has contributed to the decline in both volume and correlation.