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Tag Archives: correlation
The 60-day correlation between SPY and QQQ ETFs has plunged near pre-dotcom crash and below pre-2007 top levels. Caveat lector included.
The 60-day correlation between S&P 500 and Nasdaq-100 has dropped to levels reached along the 2000s uptrend. Although correlation can be dubious measure, current low levels may indicate that there is potential in the market for further gains.
So why did the stock market go down yesterday? Was that because of the overbought signal from the McClellan indicator or because of the resistance from the 50-day moving average? Or was it due to falling crude oil prices? Can … Continue reading
Two markets that are both in down trends are not necessarily highly correlated. For example, although the stock and oil markets are both in a downtrend, their actual correlation is not that high. Actually, the much talked correlation is a … Continue reading
In the short-term stocks and bonds have again turned anti-correlated after a period of positive correlation, in the medium-term they show no correlation and in the longer-term they are anti-correlated. Correlation depends on timeframe.
The correlation between TLT and IWM was neutral in the beginning of this year but then the two started to anti-correlate as investors sold small caps and moved into bond funds. The tendency is for the anti-correlation to increase.
In an amusing post, The Reformed Broker has finally solved the puzzling, at least for some bloggers, apparent high correlation between Apple and gold. In this non-amusing post, I show that the correlation is nowhere near as high as claimed and that some … Continue reading
The 12o-day rolling correlation between stocks and bonds made a low of -0.81 during February of 2012 and since then its has risen to slightly higher levels around -0.66. However, the correlation is still low and despite the correction due to a rise … Continue reading