No Longer A "Goldman" Market
Wednesday, September 22, 2010 at 05:48PM Up until just a few months ago, Goldman Sachs (GS) was seemingly talked about every day and used as a barometer for the overall market. For whatever reason, and probably to the delight of Goldman, the stock has taken a backseat in the stock market in recent months. Come to think of it, there hasn't been much news from the entire financial sector recently either. The correlation numbers between Goldman and the S&P 500 highlight this trend.
Below is a chart showing the correlation between the daily % change of GS and the S&P 500 over a rolling 50-day period going back to 2000. The closer the number is to one, the more correlated the daily moves are. Over the last 10 years, the average 50-day rolling correlation between the two has been 0.72. As shown, the number has gotten close to one quite a few times, which highlights how much Goldman and the overall market traded with each other. But recently the daily correlation has been trending lower, and it currently stands at 0.49. Past drops in correlation between GS and the S&P have quickly reversed, but the number has stayed low now for a few months. It's definitely no longer a "Goldman" market.
Reader Comments (1)
The stock market today is so crazy.The stock market will open higher tomorrow.