Tag Archives: equity correlations

More S&P 500 correlation

Here are some additions to the previous post on S&P 500 correlation. Correlation distribution Before we only looked at mean correlations.  However, it is possible to see more of the distribution than just the mean.  Figures 1 and 2 show several quantiles: 10%, 25%, 50%, 75%, 90%. Figure 1: Quantiles of 50-day rolling correlation of … Continue reading

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On “Stock correlation has been rising”

Ticker Sense posted about the mean correlation of the S&P 500. The plot there — similar to Figure 1 — shows that correlation has been on the rise after a low in February. Figure 1: Mean 50-day rolling correlation of S&P 500 constituents to the index. For me, this post raised a whole lot more … Continue reading

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Elevated stock correlations

Monday’s Last Word by James Mackintosh in the FTfm states that stock correlations are very high relative to the historical record. He asserts that at least part of this is driven by passive investment — in particular people coming in and out of the market.  A consequence of the high correlation is that it reduces … Continue reading

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