S&P 500 인덱스

SPX Correlations Broken Down vs 10y yield, Oil and Gold

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Thought it would be interesting to visualize the recent breakdown of correlation coefficients between the equity markets (SPX) vs fixed income (US10y yield) and commodities using a weekly chart and plotting the correlation coefficients vs the following: WTI oil (growth indicator) and gold (safe haven). A correlation coefficient of +1 indicates assets moving very strongly together and -1 indicates assets moving inversely (in opposite directions) to one another:

1) SPX vs 10y yield: bonds initially bid in flight-to-quality and then sold off along with other safe-haven fixed income

2) SPX vs gold: same thing, initially bid up then sold off (lots of portfolio margin calls, investors scrambling for liquidity/cash etc.)

3) SPX vs oil, correlations broke down to begin 2020, but then moved up to a very strong positive relationship into the heavy market sell off.

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