Rolling 60-day correlations of SPY with TLT, FXE, GLD, SLV, USO and DBC, and trends developing since the last report on January 18, 2013. Correlations are trending down across the board.
This is a bi-weekly report. The vertical mark on the chart below is set at January 18, 2013, and at the top left of each pane are shown the corresponding correlation values for that date. The values as of the close of Friday, February 1, 2013 are shown on the right side of each pane:
TLT: Anti-correlation with SPY increased slightly from -0.66 to -0.69 due to the stock rally and the simultaneous rise in yields.
FXE: The correlation with stocks decreased from +0.34 to +0.30. In the last 8 weeks, the correlation has dropped +0.23. Although both the stock market and EURUSD are rising, the moves are out of sync because of conflicting fundamentals.
GLD: The correlation with stocks dropped from +0.30 to +0.22. Stocks rallied but gold did not follow.
SLV: The correlation with stocks dropped from +0.34 to +0.24. Again, stocks rallied but silver did not follow.
USO: The correlation with stocks decreased from +0.53 to +0.46.
DBC: The correlation with stocks decreased from +0.48 to +0.40. The rally in stocks is not fuelling a rally in commodities at least for now.
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/”)