Current cross-asset relationships
Rolling 30D Pearson correlation between the asset returns and SPY (daily returns), computed only on common valid dates.
| Reference | 30D | 90D | 180D | 365D | 730D | 1460D |
|---|---|---|---|---|---|---|
| SPY | 0.54 | 0.28 | 0.40 | 0.47 | 0.43 | 0.40 |
| QQQ | 0.61 | 0.24 | 0.37 | 0.44 | 0.42 | 0.40 |
| GLD | 0.37 | 0.48 | 0.36 | 0.21 | 0.15 | 0.12 |
| Broad USD | -0.15 | -0.39 | -0.28 | -0.22 | -0.14 | -0.18 |
| 10Y yield Δ | 0.15 | -0.06 | -0.13 | -0.04 | 0.01 | -0.02 |
| Real yield Δ | 0.10 | -0.08 | -0.16 | -0.11 | -0.06 | -0.08 |
| VIX Δ | -0.36 | -0.33 | -0.41 | -0.46 | -0.40 | -0.37 |
| HY spread Δ | -0.33 | -0.24 | -0.26 | -0.32 | -0.29 | — |
Colour is the signed correlation on a fixed −1 … +1 scale; zero is the neutral centre. Blue reads negative, mauve positive — the sign is not a judgement about the asset.