Correlation Analysis [130 months]
|RJ CRBCCI/S&P GSC||0.31|
|10 YR T-Bond futures||-0.10|
|MSCI emerging markets||0.08|
|S&P/CASE-Shiller NY Home Price Index||-0.17|
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.