Summer is over and the end of the third quarter is upon us. The table below presents an interesting state of the market in terms of complete cross correlations (bottom left) and z-scores (top right) over the last sixty trading days (roughly three months) for all of the major indices, styles and sectors using ETFs as tracking proxies from tonight’s ETF Rewind.
[Please Click to Enlarge]
That’s 561 combinations! If you are interested in the Excel file, feel free to leave a comment below or contact me directly.
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