How Do the S&P and Gold Correlate?

It's been a while since I've posted to the blog, but I have a feeling my dry period of creativity is over. Keep your eyes open.

From here, I'm going to start posting correlations of varying instruments. For short term trading, it is important to know these things and how they change. These are rolling 30 day averages on daily correlations in changes of close. If you have any particular instruments you are interested in, let me know and I'll post them. If you aren't familiar with correlation, a value of 1 is 100% positive correlation and -1 is 100% negative correlation. A value of 0 means the instruments' daily motions have little to do with each other. Let's start today with S&P and Gold:

Comments

[Deckard:]

seems like gold tended to correlate positively (>0.5) with the S&P before the crisis began sometime in Aug '07. Since then, gold has tended to be negatively correlated with the S&P (<-0.5). With the exception of the rally from Mar '09 onwards when it became positively correlated.
If today's (Aug 17) market drop continues over the coming week and next, then might gold be negatively correlated with the S&P by Sep '09?

Aug 17 12:55 PM

[Alpha&Omega:]

Michael:

Thanks for your willingness to post items of interest. I would imagine most individual investors like myself would like to see these short and longer time horizons (do these daily / weekly choppy waters saccumulate into a different picture over time). I would like to see correlation of SPY beyond gold-only commodities to general commodity ETFs (I like DBC, GCC, and LSC) as well as select commodity-oriented national currencies (BZF, FXC). I have often wondered if MLP pipelines (PAA, KMP) as commodity carriers are correlated or uncorrelated, so that might be interesting. Thank you.

Aug 18 11:17 AM

[bjrad:]

Mcheal:
Thank you. Agree w/ above. As for parallel regional ETFs, as Alpha&Omega mentioned, I would add EWA and EWZ. Look forward to further correlates.

Aug 23 01:10 PM