Correlations Analysis
Correlation Analytics
Key Observations
- PCF is most correlated with $GSPC (r = 0.48, β = 0.37), the closest co-mover in this set — it explains about 23% of PCF daily moves (R² = 0.23).
- $KS11 is effectively uncorrelated (r = -0.00), the best diversifier against PCF here.
- Across the set (all Equity Indices), average correlation to PCF is 0.19.
- Correlation to $SSMI is falling (3M r = -0.20 vs 1Y 0.14) — they have been decoupling lately.
- Overall, PCF is largely idiosyncratic versus this set (avg |r| = 0.19) — its moves are mostly stock-specific.
- Versus $GSPC, Pearson r and Spearman ρ agree (0.48 vs 0.40), so the relationship is broadly linear and the β is dependable.
- PCF and $GSPC move contemporaneously (correlation is strongest same-day) — no usable lead-lag timing within ±3 days.
- Correlation to $GSPC tightens under stress: r = 0.38 in calm markets (low VIX) vs r = 0.51 in high-volatility regimes — diversification weakens exactly when you need it.
| Symbol | Name | 1M | 3M | 6M | 1Y | Trend | β | R² |
|---|---|---|---|---|---|---|---|---|
| $GSPC | S&P 500 | 0.26 | 0.46 | 0.45 | 0.44 | ≈ | 0.37 | 0.23 |
| $DJI | Dow Jones Industrial Average | 0.19 | 0.31 | 0.39 | 0.37 | ≈ | 0.39 | 0.21 |
| $NDX | Nasdaq 100 | 0.14 | 0.41 | 0.42 | 0.41 | ≈ | 0.25 | 0.20 |
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