Kass: Really!?! With Dougie

Are the S&P returns correlated with any other data?

1. R-squared between S&P monthly returns and:

• institutional all equity fund flows = 0.0119
• above + one-month lag = 0.0222
• above + two-month lag = 0.0222
• above + three-month lag = 0.0404
• above + four-month lag = 0.0408
• above + five-month lag = 0.0477
• above + six-month lag = 0.0674

2. R-squared between month-over-month nonfarm payroll percentage change (seasonally adjusted) and institutional all equity fund flows = 0.000

3. R-squared between month-over-month initial jobless claims percentage change (seasonally adjusted) and institutional all equity fund flows = 0.001

Bottom line: Our research shows that the R-squared data further emphasize the low correlation between S&P returns against a variety of factors.

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