Highest-Correlated 100-Day Windows
There was an interview with Tom DeMark on Bloomberg the other day, where he noted the S&P 500's tight correlation with the decline and rebound in 1973. Analogs are always an iffy proposition, but they tend to generate a lot of interest, and we've been asked several times if the past 100 days have any higher correlation than that period.
The table below shows the 100-day periods with the highest correlation to the past 100 days. These all had at least a 0.8 correlation (on a scale from -1.0 to +1.0) so these are very positively correlated with the ~ 5 months we just witnessed. Over the medium-term, the majority of them saw pullbacks, and risk was significantly greater than reward.