Correlations Analysis
Correlation Analytics
Key Observations
- MTB is most correlated with $DJI (r = 0.69, β = 1.19), the closest co-mover in this set — it explains about 47% of MTB daily moves (R² = 0.47).
- $HSI is effectively uncorrelated (r = -0.06), the best diversifier against MTB here.
- Across the set (all Equity Indices), average correlation to MTB is 0.20.
- Correlation to $STI is rising (3M r = 0.10 vs 1Y -0.11) — they have been moving together more lately.
- Overall linkage is moderate (avg |r| = 0.22 across 19 instruments).
- Versus $DJI, Pearson r and Spearman ρ agree (0.69 vs 0.60), so the relationship is broadly linear and the β is dependable.
- MTB and $DJI move contemporaneously (correlation is strongest same-day) — no usable lead-lag timing within ±3 days.
- Correlation to $DJI tightens under stress: r = 0.64 in calm markets (low VIX) vs r = 0.75 in high-volatility regimes — diversification weakens exactly when you need it.
| Symbol | Name | 1M | 3M | 6M | 1Y | Trend | β | R² |
|---|---|---|---|---|---|---|---|---|
| $DJI | Dow Jones Industrial Average | 0.58 | 0.43 | 0.57 | 0.56 | ▼ | 1.19 | 0.47 |
| $GSPC | S&P 500 | 0.41 | 0.21 | 0.34 | 0.35 | ▼ | 0.92 | 0.33 |
| $GSPTSE | S&P TSX Composite Index (Canada) | 0.48 | 0.37 | 0.45 | 0.37 | ≈ | 0.96 | 0.25 |
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