A one (1) means a strong correlation in the same direction,
while a minus one (–1) means a strong correlation in the opposite
direction. A zero (0) means no correlation. In the analysis here we
are being conservative, using five-year, or 60-month, rolling correlations.
This means that each monthly correlation reading includes
five years of returns from the United States compared to
five years of monthly returns of a foreign market or markets. This
smooths out a lot of the noise
while a minus one (–1) means a strong correlation in the opposite
direction. A zero (0) means no correlation. In the analysis here we
are being conservative, using five-year, or 60-month, rolling correlations.
This means that each monthly correlation reading includes
five years of returns from the United States compared to
five years of monthly returns of a foreign market or markets. This
smooths out a lot of the noise
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