iPoint (iPoint.cz)
World markets  |  August 15, 2012 11:53:51

Bespoke: U.S. dollar strengthened significantly in their role as safe haven



iPoint.cz

As the correlations in financial markets have changed over time? So just with this revelation came Bespoke analysts, who between them compared the 15 major stock markets in the U.S. in 2012 and compared them with the period of the last ten years.

The correlation is calculated based on the daily percentage move. A correlation of 1 means that the price of one asset moves exactly in comparison with the price of the second asset. A correlation of -1 means that the price of one asset moves exactly opposite than the price of the second asset. A correlation of 0 means that between two assets, there are no bond.

In 2012, with the S & P 500 from selected industry sectors, the most correlated (0.94). Between sectors of the industry and correlated most basic materials (0.88). The lowest index of the S & P 500 utilities sector correlated (0.51).Utilities also compared with the technology sectors were least correlated (0.33).

With oil in 2012, the most correlated energy sector (0.69), which is expected. Similarly, it was in the past ten years. With gold at the most basic materials sector correlated (0.36), whereas in the past ten years it was the energy sector. Both these commodities are in negative correlation with the U.S. dollar. The largest is the inverse correlation between the index S & P 500 and bonds with longer maturity (-0.62) ...

The entire list can see correlation tables to iPOINT

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