How Correlated Have Crude Oil and the S&P 500 Been?

Crude oil and the S&P 500 have been extremely correlated recently. The question is, just how correlated have they been and is this normal?

Using data going back to 1983, 51% of all days have seen the S&P 500 and crude move in the same direction. So far in 2016, 74.3% of all the days have moved the same direction, which is the highest correlation we’ve seen since 1983.

What is interesting about this relationship is the recent surge in correlation since 2009. Incredibly, the eight most highly correlated years have been the past eight years. These two assets have become more and more correlated over time, but the first few months of 2016 has been even more extreme.

Crude Oil and the S&P 500 Have Reached a High in Their Correlation


Source: LPL Research, Bloomberg 2/23/16

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