Saturday, March 14, 2009

Correlation Between Oil, Gas and Gold Stocks

This is another correlation study. In this case we look at gold stocks, natural gas stocks, and miners. Results are calculated with our StockCorrelator tool.

There are 6 charts below, covering each quarter of 2008, plus Q1 of 2009, and plus 2008 as a whole. Each represents the correlation between the two symbols on the row and the column. The cell s shaded in green when the correlation is either greater than 0.85 or less than -0.85. So green represents very good correlation.

Q1 2008:

(please click in images to enlarge)

Q2 2008:

Q3 2008:

Q4 2008:

Q1 2009:

Overall 2008:


The clusters of green show the clear correlation inside each group: miners are correlated to miners, and oil companies are correlated to oil companies. These groups are located at the top left quarter and at the bottom right quarter.

There has been a clear change since 2008. This table shows the evolution of each correlation for each quarter, and for 2008. "miners" refers to the correlation among miners only, "oilers" refers to the correlation aming oil companies only, "miners oilers" refers to the correlation between miners and oilers, and so on:

The most correlated groups in 2008 and in 2009 are the natural gas and the oil companies.

Note the correlation between miners and oil companies in Q1 2009 is near a perfect zero. This is the biggest change in correlation. Oil/natural gas companies and miners are the most uncorrelated groups in 2009.

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