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.
At the time of publication, Kass and/or his funds were short SPY, although holdings can change at any time.

Doug Kass is the president of Seabreeze Partners Management Inc. Under no circumstances does this information represent a recommendation to buy, sell or hold any security.

If you liked this article you might like

Market Is on the Straight and (Very) Narrow

Look Back to Go Forward

Stock Observations; Reviewing Equities: Doug Kass' Views

Even North Korea's Kim Jong Un Can't Stop This Epic S&P 500 Stock Rally

Robots Might Be Biggest Obstacle for Stock Market Bears