Much has been written in this space in the recent past regarding the extraordinary level of correlation across all assets and asset classes. Also remarked on has been the level of volatility and the comparison of the "risk on" / "risk off" nature of the markets made to a youngster playing with a light switch.
Andrew Cox, an FX strategist for Citigroup captured this sentiment when he said recently, "Europe is driving all asset markets, we are going through a time when fundamentals matter little". Now, while Andrew might have been thinking about all "financial" assets, his comments would seem to also apply to the art market as the fall auctions held by Christie's and Sotheby's came to two very different ends last week.
On Tuesday evening Edgar Degas' "La Petite Danseuse de Quatorze Ans", a bronze of a young ballerina failed to meet it's pre-sale estimate of $25MM to $35MM and was sent back to its owner as was Picasso's "Head of a Woman". It should be a surprise to no one, given what we know of Picasso, that he would decapitate the object of his affection, at least on canvas. Just one day later however, Sotheby's sold Gustav Klimpt's "Litzberg am Attersee" for $40.4MM well above its $25MM presale estimate.
Whether these failures and successes were tied to the political bobbing and weaving of Messer's Papandreou and Berlusconi remains to be seen but the weight with which each and every bit of news out of Europe effects the markets is proving quantifiable. Mr. Cox and his team at Citibank have developed what they call a "Merkel Signal".
In creating this strategy they counted the number of news articles Angela Merkel's name appeared in each day. They then measured the return they would have generated if they would have bought the Euro when Ms. Merkel's name appeared more than the average for the last five days and sold it when it appeared less than that same average. This very simple strategy would have returned 32% since the beginning of 2011.
Jeffrey Saut, chief investment strategist at Raymond James, has a possibly more interesting if less logical way to make money. It has more to do with the calendar than the newspaper and is based around our current 12 month marker. For one Jeff notes, 2011 has an abundance of dates that contain all "1's" such as 1/1/11, 1/11/11, 11/1/11 and 11/11/11 which comes this Friday. Additionally, people born in the last century will find the sum of 111 when they add the last two digits of their birth year to their age. (Go ahead, I'll give you a minute to try it.)
Possibly the most constructive calendar coincidence is that this past October contained five Saturdays, five Sundays and five Mondays which, according to Mr.