ETF Correlations as of the Close of Friday, January 4, 2013

Rolling 60-day correlations of SPY with TLT, FXE, GLD, SLV, USO and DBC, and trends developing since the last report on December 21, 2012. This is a bi-weekly report. 

The vertical mark on the chart below is set at December 21, 2012 and at the top left of each pane are shown the corresponding correlation values for that date. The values as of the close of January 4, 2013 are shown on the right side of each pane:

ETF_60_20130104

TLT: Anti-correlation with SPY increased slightly from -0.67 to -0.68 due to the recent stock market rally and simultaneous rise in yields.

FXE: The correlation with stocks decreased further from +0.53 to +0.40 due to reluctance of forex traders to sell dollars in the face of the fiscal cliff uncertainty.

GLD: The correlation with stocks remained stable at +0.33. All that talk about the correlation decreasing a few weeks ago proved to be just noise. This is a volatile correlation. During September of 2011 it reached a low of -0.53. There is no point in making a lot of noise when there is a small decrease.

SLV: Same pattern as in the GLD case above. The correlations inreased from +0.32 to +0.35. This is a volatile correlation. During September of 2011 it reached a low of                -0.27. There is no point in making a lot of noise when there is a small decrease.

USO: The correlation increased slightly from +0.46 to +0.48. 

DBC: The correlation with stocks remained stable at +0.46.

Disclosure: no relevant position at the time of this post and no plans to initiate any positions within the next 72 hours.. 

Charting program: Amibroker (Charts created with AmiBroker – advanced charting and technical analysis software. http://www.amibroker.com/”) 

Disclaimer

FacebookTwitterGoogle+PinterestHacker NewsTumblrLinkedInBlogger PostDeliciousDiggEmailRedditMySpaceWordPressWhatsAppShare
This entry was posted in ETF Analysis and tagged . Bookmark the permalink.

Comments are closed.