Below is an updated look at the correlation between the US stock market and oil. In the chart, we show the rolling 50-trading day correlation between daily price moves (in percentage terms) of the S&P 500 and crude oil. From 1990 through the end of the mid-2000s bull market, correlations between stocks and oil trended sideways in a range between -0.6 and +0.4 (1.0 means they’re moving exactly inline with each other while -1.0 means they’re exactly mirroring each other). During the Financial Crisis when correlations across most asset classes increased significantly, the correlation between the S&P and oil increased up towards 0.80. It trended lower and moved towards 0 in 2013 and 2014, and then started to trend higher again in 2015. Over the last 50 trading days, the correlation has been roughly 0.50.
Unlike oil, where correlation with the stock market is positive, we’ve recently seen stocks and gold become negatively correlated. Over the last 50 trading days, the correlation between the S&P 500 and gold has been -0.62. As shown below, that’s the most negative correlation seen between the two since at least 1990!
The final two charts below show the rolling 50-trading day correlation between daily prices moves of the S&P 500 and the US Dollar index as well as the S&P 500 and the long bond. The S&P 500 and the Dollar index have really seen correlations dip negative over the last couple of months, while the correlation between the S&P 500 and the long bond is at -0.60 as well.