Nikunj Soni

Many medium term investors are interested in the relationship between currencies and the equity market. There is also a sense among many observers that the market is moving in waves of risk on and risk off. To help shed light on the issue, we looked at the correlation between several currencies and the US S&P 500. From a methodological point of view we are looking at the correlations on the level of percent change. Euro: Over the past 60 days the euro's correlation with the S&P 500 is about 0.47. This represents a significant  recovery  from the low of below 0.2 seen in early March. The correlation had been trending lower from early last Nov (near 0.68) to that early March low and since has been trending higher. Over the past 30 days, the euro's correlation with the S&P 500 is about 0.58, which is consistent with the trend rise in the 60 day reading. The low correlation of the year was recorded in mid-Jan near 0. Canadian and Australian dollars: Over the past ...