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  • The 'Best' Way to Capture Foreign Exposure [View article]
    EWM and EWS have high correlation among themselves but relatively low correlation vs the SPY.

    I have wondered if this is because of the time (one day) difference between the markets, but when I switch from daily to weekly price change correlation (past 1 year) I still get low correlations vs the SPY:

    <blockquote>
    <code>
    Correlation vs SPY
    ----------------------
    Ticker: Daily Weekly
    EWS 0.62 0.65
    EWM 0.51 0.45
    </code>
    </blockquote>

    This data is based on closing prices (daily and weekly) over the past year (252 trading says). Correlation is simple linear correlation between two percent change series.
    Jan 19 12:09 pm |Rating: 0 0 |Link to Comment
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