Monday, June 28, 2010

Correlation Between S&P500 and 10-yr Tsy: An Ominous Sign?

There is a new peak in the correlation between the S&P500 and the yield on the 10yr Treasury. The bottom graph in the screen shot below is that of rolling 120-day correlations. If we consider 60-day rolling, correlation would be even higher at 84%. It hasn't been as high since late 07 and all of 08. What are markets telling us?...

No comments:

Post a Comment