Sentences with phrase «day average correlation»

The 65 - day average correlation of stocks fell to 0.52 in January.

Not exact matches

Correlation uses a 252 trading day moving average.

Specifically, they calculate the average Pearson correlation of daily returns among all 30 stocks comprising the Dow Jones Industrial Average (DJIA) over a specified interval (ranging from 10 to 60 trading days), accounting for occasional index revaverage Pearson correlation of daily returns among all 30 stocks comprising the Dow Jones Industrial Average (DJIA) over a specified interval (ranging from 10 to 60 trading days), accounting for occasional index revAverage (DJIA) over a specified interval (ranging from 10 to 60 trading days), accounting for occasional index revisions.

Here is a heat map where the average 60 - day past return is on the horizontal axis, and average sector correlation is on the vertical axis, and the variable displayed is average future 60 - day returns.

Here is a graph showing the price return on the S&P 500 over the next 60 days as a function of the average sector correlation over the last 60 days:

Here is a heat map where the average 60 - day past return is on the horizontal axis, and average sector correlation is on the vertical axis, and the variable displayed is frequency of occurrence.

Given that correlations tend to rise in a panic, a reasonable measure of sentiment is to measure the average absolute value of 10 - day correlations.

Just looking at the average correlation or average downside correlation of the typical Russell 1000 stock to the S&P 500 using a 252 - day lookback should clearly demonstrate a positive trend over time.

In mid-December 2017, it made up 19 percent, and the long - run average for the 90 - day correlation was negative 1 percent.