This Thread is for a question about the Russell 100 and S&P...

I hear that there is a 99% correlation between the Russell 100 and the S&P.. Anyone have any ideas? Please show links if you have any..

Thanks in advance

CML

 

we are a MM firm...currently we have the RL to SP correlation at about 89%. jim

 

Hey Jim how did you arrive on that percentage? Is there a way to confirm that to me?

Thanks

 

For the year 2005 the daily correlation between the SP and RL was 92.7.

 

Thanks for the info.. How can you confirm that?

CML

 

Setup a Excel spreadsheet. Enter the closing price of the SP in column 1 for each day of the year. In column 2 enter the closing price of the RL for each day of the year.

In column 3 at the bottom enter =correl(a1:a253,b1:b253)
(253 is the number of days in the year)
Multiply the number by 100 and you'll get 92.7 for 2005.

This can also be done on intraday data by selecting a timeframe (5min., 10min. etc.) and populating a database. Then write a program to compute the correlation.

 

Thanks for the advice.. I tried it for FEB and got little over .997..

CML

 

usually correlation is calculated on percentage changes rather than price itself.

 

Or of the daily returns:

ln(P[0] / P[1])

which is close to the percentage change.

 

would you suggest using percentages in the same formula as explained in this thread thus far?