Futures Correlation Matrix

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- Chart Key:
DX = December 2009 U.S. Dollar Index contract
S&P 500 = December 2009 S&P 500 Index e-mini contract
Gold = December 2009 Comex Gold contract
10yr T-note = December 2009 10-year U.S. T-note contract
Oil = January 2010 Light Sweet Crude Oil contract
- strong positive correlation
- moderate positive correlation
- negligible correlation
- moderate negative correlation
- strong negative correlation
The correlation matrix shown above is based on correlation coefficients derived from 15-minute chart closing prices on GFT’s DealBook 360 platform, from November 2 through 27, 2009.
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