Best ETF and CEF Absolute Lagged Correlation to S&P 500
I found these results particularly interesting, as nearly none of the ETFs I expected are present. The following were my most interesting observations:
- Japan seems to rank consistently well, with DND and DFJ taking 1-period and 17-period.
- The overall best absolute correlation in this lag-range is found in the 21-day lag with the S&P Global Consumer Discretionary fund.
- Correlations around multiples of 5 seem to be stronger, representing weekly periodicity as expected.
- The Double Dow Inverse DXD ranks best in the 6-period lag.
- The most common type of fund is "high income," something I am somewhat at a loss to explain.
| Lag | Symbol | R |
| 1 | DND | -21% |
| 2 | ITA | -16% |
| 3 | HCF | 14% |
| 4 | RYJ | 15% |
| 5 | DBR | -21% |
| 6 | DXD | 18% |
| 7 | PZD | 13% |
| 8 | PFI | 15% |
| 9 | ETB | -14% |
| 10 | PRFQ | 24% |
| 11 | PRFQ | -14% |
| 12 | PRFU | 17% |
| 13 | RHY | 14% |
| 14 | RXI | 11% |
| 15 | HCF | 18% |
| 16 | PRFS | -19% |
| 17 | DFJ | -17% |
| 18 | FXF | -14% |
| 19 | DBT | 21% |
| 20 | PIQ | -17% |
| 21 | RXI | 25% |
| 22 | FHY | 20% |
- Michael J Bommarito II's blog
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