Above is a mensurate of rolling correlations with major USA stock sectors that I rails daily. Basically it's a moving average of a composite of the correlations of each sector with every other sector.
Correlation has been percolating higher of late, but is non nonetheless at levels that convey been associated with recent marketplace position bottoms together with snap-backs.
Since 2013, I respect that the average five-day provide inwards SPY has been most .25%. When the correlation with sectors has been higher upwards .80, the average five-day provide has been .49%. When the composite correlation has been below .80, the average five-day provide has been .06%.
When stocks peak, they tend to deed their ain ways every bit sector rotation sets inwards together with potent shares remain high spell weak ones start their declines. When stocks fall, they tend to autumn inwards unison--and together with then oftentimes bounce dorsum inwards unison.
It's non simply most how stock indexes move; it's besides most how stocks deed relative to 1 another.
Further Reading: Intraday Correlations Among Stock Sectors
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