Historical Correlation Between the S&P 500 and Major Indices

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Includes: EFA, EWJ, EWU, EZU, GLD, IAU, IEF, IVV, OIL, SPY, USO
by: Bespoke Investment Group

Hickey and Walters (Bespoke) submit: We recently decided to see how correlated the S&P 500 is with various asset classes and if they were becoming more or less correlated in recent years. We first calculated the weekly percent change going back to 1988 of the S&P 500, FTSE 100, Nikkei 225, MSCI World, MSCI Emerging Market, 10-Year Treasury Note, Oil and Gold. We then calculated a 1-year rolling correlation between the weekly percent changes of the S&P 500 and each market. The historical correlation charts are shown below.

While equity indices globally have become more correlated with the U.S. in recent years (see MSCI World, Emerging Markets, FTSE 100 and Nikkei 225 charts), the S&P still has a relatively low level of correlation with non-equity related assets.


correlation 1

correlation 2