Correlations Analysis
Correlation Analytics
Key Observations
- AMZN is most correlated with $GSPC (r = 0.67, β = 1.40), the closest co-mover in this set — it explains about 44% of AMZN daily moves (R² = 0.44).
- $STI is effectively uncorrelated (r = -0.09), the best diversifier against AMZN here.
- Across the set (all Equity Indices), average correlation to AMZN is 0.20.
- Correlation to $AEX is falling (3M r = -0.07 vs 1Y 0.21) — they have been decoupling lately.
- Overall linkage is moderate (avg |r| = 0.21 across 19 instruments).
- Versus $GSPC, Pearson r and Spearman ρ agree (0.67 vs 0.64), so the relationship is broadly linear and the β is dependable.
- AMZN and $GSPC move contemporaneously (correlation is strongest same-day) — no usable lead-lag timing within ±3 days.
- Correlation to $GSPC tightens under stress: r = 0.60 in calm markets (low VIX) vs r = 0.76 in high-volatility regimes — diversification weakens exactly when you need it.
| Symbol | Name | 1M | 3M | 6M | 1Y | Trend | β | R² |
|---|---|---|---|---|---|---|---|---|
| $GSPC | S&P 500 | 0.42 | 0.46 | 0.54 | 0.55 | ≈ | 1.40 | 0.44 |
| $NDX | Nasdaq 100 | 0.32 | 0.29 | 0.44 | 0.50 | ▼ | 1.02 | 0.43 |
| $DJI | Dow Jones Industrial Average | 0.31 | 0.37 | 0.43 | 0.41 | ≈ | 1.25 | 0.30 |
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