Wednesday, April 15, 2009

Is Credit Suisse's Index Just a Swiss Miss? (VIX)

Following up on yesterday's "New Indicator Trumps the VIX?", Minyanville comes right back with:
Our own Professor Jason Goepfert looks at Credit Suisse's (CS) new CSFB Fear Index and relates it to the SPXand theVIX:

"Unless I'm looking at something wrongly here, there isn't much of a correlation among the three. The new CSFB Fear Index actually has a negative correlation to the VIX, which isn't something we should expect. If fear is present in the market, then both should rise.

"At prior intermediate-term bear-market bottoms, we saw the VIX spike up as fear increased, but that wasn't reflected in the CSFB index. In fact, the highest level in that index occurred in April 2007, not exactly a time of great fear in the market. And last October, it reached a very low level while overall volatility was increasing, again contrary to what we would expect from a guage that's supposed to measure investor fear."