Short version. Stocks are moving weakly together in every market. All seven readings are below their own five-year average, and the average across the seven is 0.14. Australia (0.06), the Nasdaq 100 (0.09) and the S&P 500 (0.10) are in the bottom 6% of their history. The European markets have risen over the past month, with Italy (0.22) and the UK (0.19) closest to their averages.
Latest reading
Average pairwise correlation of daily returns between all the stocks in each market, over the last 30 sessions. Zero means the stocks move independently, one means they move as a block.
| Market | Stocks | As of | Correlation | Change, 1 month | 5-year average | Percentile |
|---|---|---|---|---|---|---|
| S&P 500SPY | 502 | 25 Sep | 0.101 | +0.008 | 0.263 | 5th |
| Nasdaq 100QQQ | 100 | 25 Sep | 0.085 | +0.011 | 0.270 | 6th |
| Euro Stoxx 50EZU | 50 | 24 Sep | 0.176 | +0.052 | 0.300 | 17th |
| DAX 40EWG | 40 | 24 Sep | 0.148 | +0.053 | 0.260 | 14th |
| FTSE MIBEWI | 40 | 24 Sep | 0.223 | +0.086 | 0.278 | 38th |
| FTSE 100EWU | 100 | 24 Sep | 0.193 | +0.075 | 0.239 | 36th |
| ASX 200EWA | 196 | 25 Sep | 0.061 | -0.031 | 0.170 | 1th |
Percentile = share of days since October 2021 with a lower reading. The European markets are as of 24 September, the others as of 25 September.
Since October 2021
Weekly sampling of the 30-session reading for each market.
Markets against their stocks
The markets themselves are tightly linked. Over 27 August to 25 September the seven index ETFs had an average pairwise correlation of 0.78, from 0.59 (Nasdaq 100 and FTSE 100) to 0.91 (S&P 500 and Nasdaq 100). Inside each market the stocks are far less aligned, at 0.06 to 0.22. Indices move together because of what they have in common, while individual stocks respond more to company-specific news.
How to read this
Method. For each market, the average of the correlations between every pair of member stocks, computed on daily returns over a rolling window of 30 trading days. Only stocks with a price on every day of the window are included.
Limits. Members are the current constituents of each index, taken back in time, so the history is not free of survivorship bias. Prices come from Yahoo Finance in local currency. A 30-day window is noisy: readings can move by several points in a few weeks. Markets differ in size (from 40 to 502 stocks), so levels are best compared with each market's own history. These are research notes, not recommendations.
Research material only — not personalized financial advice. Past performance does not predict future results. Contact: domderrico@gmail.com.