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

Discussion in 'Trading' started by cml2949, Mar 16, 2006.

1. ### cml2949

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..

CML

2. ### jim c

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

3. ### cml2949

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

Thanks

4. ### acrary

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

5. ### cml2949

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

CML

6. ### acrary

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.

7. ### cml2949

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

CML

8. ### man

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

9. ### squeeze

Or of the daily returns:

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

which is close to the percentage change.

10. ### cml2949

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

#10     May 8, 2006
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