Message-ID: <24048232.1075856309247.JavaMail.evans@thyme>
Date: Tue, 25 Jul 2000 08:30:00 -0700 (PDT)
From: anjam.ahmad@enron.com
To: tanya.tamarchenko@enron.com, grant.masson@enron.com, 
	kirstee.hewitt@enron.com
Subject: Metals Cross Correlations
Cc: dale.surbey@enron.com, stinson.gibner@enron.com, eric.gadd@enron.com, 
	andreas.barschkis@mgusa.com, ted.murphy@enron.com, 
	vince.kaminski@enron.com
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X-From: Anjam Ahmad
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Dear all,

I have completed the cross-correlation study for the seven metals we have 
data for - will complete for gold, silver and cocoa.  I have also attached 
the spreadsheet.  Correlations based on log-returns, 21, 42 or 63 business 
days for either front month only or average of entire futures curve - please 
see data below or drill into spreadsheet.  We can choose the most appropriate 
time-bucket and whether to use front month or "average of curve" data.

Regards,

Anjam
x35383

SPREADSHEET:




