Correlation Analysis [130 months]


Monthly correlation
NE CTA   0.07
S&P 500  0.41
10 YR T-Bond futures -0.10
MSCI emerging markets  0.08
S&P/CASE-Shiller NY Home Price Index  -0.17
USD index  -0.14
Autocorellation   0.02


Correlation coefficient, which ranges between -1 and +1, is a  standardized statistical measure of the dependence of two random variables. Positive correlation close to  +1 implies that as one security moves, either up or down, the other security will move generally in the same direction. Negative correlation close to -1 means that if one security moves in either direction, the negatively correlated security is inclined to move in the opposite direction. If the correlation is about  0, the movement  of the securities are not directly related.

USD index is a measure  of the value of USD relative to a basket of foreign currencies: EUR (57,6%), JPY (13,6%), GBP (11,9%), CAD (9,1%), SEK (4,2%), CHF (3,6%). 

The chart below depicts the correlations of Iris Investments  with major trading indicators as S&P 500.

  • histogram of II  correlations