Hi - Can anyone help? I'm looking for the best and quickest way to measure the degree of correlation between different markets. Is there a specific indicator, or piece of software that will do this for me? I'm looking mainly at currencies and commodities & trading a trend following system. thanks in advance J-S
J-S - if you can get the beta of the applicable sector indices, you can then derive the intersector correlation. Betas are usually computed compared to the S&P. Since the two betas have a common comparison, they can then be compared to each other.