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Using the Akaike Information Criterion to determine the number of lags to include in the VAR model, the USTB and USCS datasets are fitted with VAR(3), commodity prices with VAR(2), and GMHF and currencies with VAR(1).
Exhibit 3 shows that Factor 1 of GMHF is highly correlated with major equity indices worldwide.
Correlation between the factors is tested over a six-month rolling window for GMHF and a one-year rolling window for U.S.
For the 5% test on GMHF, the number of uncorrelated factors is never five--the number estimated using ABC's criterion over the entire horizon--during recession.
When combined in the GMHF portfolio, these interactions become more complex and are realized as fluctuating correlation between factors.
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- GMIDB Data for Unclassified
- GMIDB Data US